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The stability of ARCH models across Australian financial futures markets

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  • Robert Brooks
  • John Lee

Abstract

The applicability is explored of using ARCH/GARCH models to investigate Australian financial futures data. The extent to which the parameters of the models change over time is examined through analysing the data contract by contract. The results do vary over time and simple models such as the ARCH(1) model provide a reasonably good fit to the data.

Suggested Citation

  • Robert Brooks & John Lee, 1997. "The stability of ARCH models across Australian financial futures markets," Applied Financial Economics, Taylor & Francis Journals, vol. 7(4), pages 347-359.
    • Handle: RePEc:taf:apfiec:v:7:y:1997:i:4:p:347-359
    DOI: 10.1080/096031097333466
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    References listed on IDEAS

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    1. Lee, John H. H., 1991. "A Lagrange multiplier test for GARCH models," Economics Letters, Elsevier, vol. 37(3), pages 265-271, November.
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    7. Lee, John H H & King, Maxwell L, 1994. "Correction [A Locally Most Mean Powerful Based Score Test for ARCH and GARCH Regression Disturbances]," Journal of Business & Economic Statistics, American Statistical Association, vol. 12(1), pages 139-139, January.
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    9. Benoit Mandelbrot, 2015. "The Variation of Certain Speculative Prices," World Scientific Book Chapters, in: Anastasios G Malliaris & William T Ziemba (ed.), THE WORLD SCIENTIFIC HANDBOOK OF FUTURES MARKETS, chapter 3, pages 39-78, World Scientific Publishing Co. Pte. Ltd..
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