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Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity

Author

Listed:
  • Amado Peir

    (Universitat de Val ncia, Valencia, Spain)

Abstract

This paper argues that a simple white noise process with one jump in its unconditional variance may give rise to the presence of autoregressive conditional heteroscedasticity (ARCH) effects, and, surprisingly, this may occur in determinate circumstances even when the jump is very brief. Though ARCH effects are not denied, this evidence, together with some empirical results obtained from Standard & Poor's 500 returns, allows one to question whether they are a general and regular property of so many economic and financial series.

Suggested Citation

  • Amado Peir, 2016. "Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity," International Journal of Economics and Financial Issues, International Journal of Economics and Financial Issues, vol. 6(4), pages 1338-1343.
    • Handle: RePEc:eco:journ1:2016-04-06
    as

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    References listed on IDEAS

    as
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    JEL classification:

    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

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