Article ID: | iaor19951013 |
Country: | United States |
Volume: | 25 |
Issue: | 5 |
Start Page Number: | 881 |
End Page Number: | 891 |
Publication Date: | May 1994 |
Journal: | International Journal of Systems Science |
Authors: | Sengupta J.K., Sfeir R.E. |
Three types of nonlinear models of volatility of market returns based on the conditional variance models and the logistic and cubic versions of chaotic dynamics are critically reviewed here and empirically tested against three types of market indices: value weighted, equally weighted and Standard and Poor’s return index for the New York Stock Market. Econometric results provide valuable insights into the temporal variations of the conditional variances and skewness of market returns.