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Nonlinear Dynamics and the Distribution of Daily Stock Index Returns

Listed author(s):
  • Brorsen, B Wade
  • Yang, Seung-Ryong
Registered author(s):

    Three alternative models of daily stock index returns are considered: (1) a diffusion-jump process; (2) an extended generalized autoregressive conditional heteroskedasticity (GARCH) process; and (3) a combination of the GARCH and jump processes. Non-nested tests between the diffusion-jump process and a GARCH(1,1) process with t-distributed errors reject the diffusion-jump process, but do not always reject the GARCH process. Kolmogorov-Smirnov tests of fit, however, reject the GARCH(1,1)-t process for all cases. Nonlinear dependence is not removed for the value-weighted index and the S&P 500 stock index; therefore, deterministic chaos cannot be dismissed.

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    Article provided by Southern Finance Association & Southwestern Finance Association in its journal Journal of Financial Research.

    Volume (Year): 17 (1994)
    Issue (Month): 2 (Summer)
    Pages: 187-203

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    Handle: RePEc:bla:jfnres:v:17:y:1994:i:2:p:187-203
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