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STATISTICAL PROPERTIES OF DAILY RETURNS: EVIDENCE FROM EUROPEAN STOCK MARKETS
Author(s) -
Corhay A.,
Rad A. Tourani
Publication year - 1994
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/j.1468-5957.1994.tb00318.x
Subject(s) - autoregressive conditional heteroskedasticity , heteroscedasticity , econometrics , stock (firearms) , autoregressive model , economics , empirical evidence , random walk , financial economics , volatility (finance) , mathematics , statistics , geography , philosophy , archaeology , epistemology
This paper attempts to model the distributional properties of daily stock returns on several European Stock Exchanges. The empirical findings reveal the presence of non‐linear dependencies that cannot be captured by the random walk model. A model of return‐generating process that fit the data empirically is the Generalized Autoregressive Conditional Heteroskedastic GARCH (1,1) process with a conditional student‐ t distribution.