Modelling and testing for market volatility

Modelling and testing for market volatility

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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: ,
Abstract:

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.

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