Some Relations between Volatility and Serial Correlations in Stock Market Returns.

This article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies. It is found that serial correlations are changing over time and are related to stock return volatility. An extension to the GARCH model is proposed and estimated, revealing parameters consistent with other findings in this article. Copyright 1992 by University of Chicago Press.

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Year of publication:	1992
Authors:	LeBaron, Blake
Published in:	The Journal of Business. - University of Chicago Press. - Vol. 65.1992, 2, p. 199-219
Publisher:	University of Chicago Press

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005728250