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Stock Market Indexes: A random walk test with ARCH (q) disturbances

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  • Ben Naceur, Hassen

Abstract

We will here study the stock market indexes, in the context of a random walk test with ARCH (q) disturbances. This model based on these theoretical predictions has been valuated from the Tunis Stock market data. The coherence of the parameters signs and the statistical relevance of the estimations are validating the choice of the conditionally heteroskedastic random walk model

Suggested Citation

  • Ben Naceur, Hassen, 2014. "Stock Market Indexes: A random walk test with ARCH (q) disturbances," MPRA Paper 78978, University Library of Munich, Germany.
    • Handle: RePEc:pra:mprapa:78978
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    References listed on IDEAS

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    More about this item

    Keywords

    white noise; index; random walk; ARCH (or GARCH) model;
    All these keywords.

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C58 - Mathematical and Quantitative Methods - - Econometric Modeling - - - Financial Econometrics

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