TY  - JOUR
TT  - Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity
AU  - Peiró, Amado
PY  - 2016
DA  - September
JF  - International Journal of Economics and Financial Issues
JO  - IJEFI
PB  - İlhan ÖZTÜRK
WT  - DergiPark
SN  - 2146-4138
SP  - 1338
EP  - 1343
VL  - 6
IS  - 4
KW  - Autoregressive Conditional Heteroscedasticity
KW  - Stock Returns
KW  - Unconditional Variance
N2  - This paper argues that a simple white noise process with one jump in its unconditional variance may give rise to the presence of ARCH effects, and, surprisingly, this may occur in determinate circumstances even when the jump is very brief. Though ARCH effects are not denied, this evidence, together with some empirical results obtained from Standard & Poor’s 500 returns, allows one to question whether they are a general and regular property of so many economic and financial series.
UR  - https://dergipark.org.tr/en/pub/ijefi/issue//354649
L1  - https://dergipark.org.tr/en/download/article-file/366171
ER  -