[en] This paper examines the statistical behavior of daily stock returns in several Pacific-Basin stock exchanges, which have grown tremendously in recent years. Empirical evidence reveals that return-generating models which empirically fit the data are processes with conditional heteroscedastic innovations. Particularly, the generalized autoregressive conditional heteroscedastic GARCH(1,1) process turns out to be the best in most cases.
Disciplines :
Finance
Author, co-author :
Corhay, Albert ; Université de Liège - ULiège > Comptabilité et finance
Tourani-Rad, Alireza
Language :
English
Title :
Conditional heteroscedasticity in pacific-basin stock market returns
