Stock returns and volatility: Evidence from the Athens Stock market index

被引：0
|
作者：
Apergis N. [1 ]
Eleptheriou S. [2 ]
机构：
[1] Department of Economics, University of Ioannina
来源：
Journal of Economics and Finance | 2001年 / 25卷 / 1期
关键词：
Stock Return; Conditional Variance; Return Series; Arch Model; Conditional Volatility;
D O I：
10.1007/BF02759686
中图分类号：
学科分类号：
摘要：
This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990-1999 through the comparison of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks into volatility.
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页码：50 / 61
页数：11
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