The Stability of ARCH Models Across Australian Financial Markets
This paper esplores the applicability of ARCH/ GARCH models to Australian financial structure data. In particular we focus on the extent to which the parameters of the models change over time by analysing the data contract. We find the results to vary over time and that simple models such as the ARCH(1) model provide a seasonably good fit to the data.
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|Date of creation:||1996|
|Contact details of provider:|| Postal: Centre in Finance, Department of Economics and Finance, Faculty of Business, RMIT GPO Box 2476V Melbourne, Vic 3000 Australia.|
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