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Using the Correlation Dimension to Detect non-linear dynamics

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Author Info
Theodore Panagiotidis () (Dept of Economics, Loughborough University)
David Chappell () (University of Sheffield)

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Abstract

The standardised residuals from GARCH models fitted to three stock indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is iid.

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Paper provided by Department of Economics, Loughborough University in its series Discussion Paper Series with number 2004_17.

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Date of creation: Nov 2004
Date of revision: Nov 2004
Handle: RePEc:lbo:lbowps:2004_17

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Related research
Keywords: Non-linear Dynamics; Stock Indices; Chaos; Correlation Dimension.;

Find related papers by JEL classification:
C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions
C53 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Forecasting and Other Model Applications
G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)

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  1. Barnett, William A. & Gallant, A. Ronald & Hinich, Melvin J. & Jungeilges, Jochen A. & Kaplan, Daniel T. & Jensen, Mark J., 1997. "A single-blind controlled competition among tests for nonlinearity and chaos," Journal of Econometrics, Elsevier, vol. 82(1), pages 157-192. [Downloadable!] (restricted)
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  2. William A. Barnett & Apostolos Serletis, 1998. "Martingales, Nonlinearity, and Chaos," Econometrics 9805003, EconWPA. [Downloadable!]
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