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.

引用

页码：50 / 61

页数：11

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