Faculty of Economics and Business Administration Publications Database

Return Variances of Selected German Stocks

Volume: 32
Number: 1
Pages: 353 - 361
Month: December
Link External Source: Online Version
Year: 1991

Models with autoregressive conditional heteroskedasticity are used to describe the behavior of the variance of the rate of return on selected German stocks. The results show that these models are superior to the commonly used process with constant variance due to their increased flexibility in situations of changing volatility.