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Non-linearity in stock index returns: the volatility and serial correlation relationship

✍ Scribed by Ioannis A. Venetis; David Peel

Book ID: 116423545
Publisher: Elsevier Science
Year: 2005
Tongue: English
Weight: 172 KB
Volume: 22
Category: Article
ISSN: 0264-9993
DOI: 10.1016/j.econmod.2003.08.004

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## Abstract This paper investigates seasonal anomalies in the mean stock returns of Germany, the UK and the US during pre‐World War I (WWI) period. The anomalies studied are month of the year effect and the January effect. The empirical research is conducted using a non‐linear GARCH‐__t__ model, an