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Year 2016, Volume: 6 Issue: 4, 1338 - 1343, 01.09.2016

Abstract

Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity

Year 2016, Volume: 6 Issue: 4, 1338 - 1343, 01.09.2016

Abstract

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.

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Details

Other ID JA38YR94NB
Journal Section Research Article
Authors

Amado Peiró This is me

Publication Date September 1, 2016
Published in Issue Year 2016 Volume: 6 Issue: 4

Cite

APA Peiró, A. (2016). Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. International Journal of Economics and Financial Issues, 6(4), 1338-1343.
AMA Peiró A. Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. IJEFI. September 2016;6(4):1338-1343.
Chicago Peiró, Amado. “Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity”. International Journal of Economics and Financial Issues 6, no. 4 (September 2016): 1338-43.
EndNote Peiró A (September 1, 2016) Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. International Journal of Economics and Financial Issues 6 4 1338–1343.
IEEE A. Peiró, “Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity”, IJEFI, vol. 6, no. 4, pp. 1338–1343, 2016.
ISNAD Peiró, Amado. “Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity”. International Journal of Economics and Financial Issues 6/4 (September 2016), 1338-1343.
JAMA Peiró A. Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. IJEFI. 2016;6:1338–1343.
MLA Peiró, Amado. “Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity”. International Journal of Economics and Financial Issues, vol. 6, no. 4, 2016, pp. 1338-43.
Vancouver Peiró A. Changes in the Unconditional Variance and Autoregressive Conditional Heteroscedasticity. IJEFI. 2016;6(4):1338-43.