An empirical analysis of alternative par
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Geoffrey F. Loudon; Wing H. Watt; Pradeep K. Yadav
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Article
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2000
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John Wiley and Sons
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English
โ 189 KB
๐ 1 views
This paper presents empirical evidence on the eectiveness of eight dierent parametric ARCH models in describing daily stock returns. Twenty-seven years of UK daily data on a broad-based value weighted stock index are investigated for the period 1971ยฑ97. Several interesting results are documented. Ov