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Chaotic volatility in market portfolios

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  • Jati Sengupta
  • Yijuan Zheng

Abstract

Empirical estimates of the Lorenz model of chaos are reported here for the conditional variances of returns of selected mutual funds over the period September 1988 to April 1993. These estimates show that chaotic instability may occur with a positive probability.

Suggested Citation

  • Jati Sengupta & Yijuan Zheng, 1994. "Chaotic volatility in market portfolios," Applied Economics Letters, Taylor & Francis Journals, vol. 1(4), pages 63-65.
    • Handle: RePEc:taf:apeclt:v:1:y:1994:i:4:p:63-65
    DOI: 10.1080/135048594358230
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    References listed on IDEAS

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    1. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
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    Cited by:

    1. Bordignon, Silvano & Lisi, Francesco, 2001. "Predictive accuracy for chaotic economic models," Economics Letters, Elsevier, vol. 70(1), pages 51-58, January.

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