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
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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