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Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity

Author

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  • 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, Econjournals, vol. 6(4), pages 1338-1343.
    • Handle: RePEc:eco:journ1:2016-04-06
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    References listed on IDEAS

    as
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    Full references (including those not matched with items on IDEAS)

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    More about this item

    Keywords

    Autoregressive Conditional Heteroscedasticity; Stock Returns; Unconditional Variance;
    All these keywords.

    JEL classification:

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

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