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The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH

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Funke, M. The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH. Credit and Capital Markets – Kredit und Kapital, 27(3), 348-362. https://doi.org/10.3790/ccm.27.3.348
Funke, Michael "The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH" Credit and Capital Markets – Kredit und Kapital 27.3, 1994, 348-362. https://doi.org/10.3790/ccm.27.3.348
Funke, Michael (1994): The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH, in: Credit and Capital Markets – Kredit und Kapital, vol. 27, iss. 3, 348-362, [online] https://doi.org/10.3790/ccm.27.3.348

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The Message in Daily West German Stock Prices: Empirical Evidence Using GARCH

Funke, Michael

Credit and Capital Markets – Kredit und Kapital, Vol. 27 (1994), Iss. 3 : pp. 348–362

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Michael Funke, Berlin/London

References

  1. Akgiray, V. (1989): Conditional Heteroscedasticity in Time Series of Stock Returns: Evidence and Forecasts, Journal of Business 62, 55 - 80.  Google Scholar
  2. Akgiray, V. and Booth, G. G. (1986): Stock Price Processes and Discontinuous Time Paths: An Empirical Examination, Financial Review 21, 163 - 184.  Google Scholar
  3. Akgiray, V., Booth, G. G. and Loistl, ©. (1989): Statistical Models of German Stock Returns, Journal of Economics 50, 17 - 33.  Google Scholar

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.