JOURNAL ARTICLE
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The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH
Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 3 : pp. 348–362
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Michael Funke, Berlin/London
References
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Akgiray, V. (1989): Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business 62, 55 - 80.
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Abstract
Stock returns have long been recognized to be heteroscedastic as well as leptokurtic. One model that captures both characteristics is the GARCH process. This article is concerned with modelling the dynamic and distributional properties of fine frequency West German stock market data from January 1, 1987 to December 31, 1990. The stylized results are that the conditional heteroscedasticity in daily stock returns is well represented by a stochastic GARCH (1,1) process with near unit roots.