SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK-MARKET RETURNS

被引：139

作者：

LEBARON, B

机构：

来源：

JOURNAL OF BUSINESS | 1992年 / 65卷 / 02期

关键词：

D O I：

10.1086/296565

中图分类号：

F [经济];

学科分类号：

02 [经济学];

摘要：

This article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies. It is found that serial correlations are changing over time and are related to stock return volatility. An extension to the GARCH model is proposed and estimated, revealing parameters consistent with other findings in this article.

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页码：199 / 219

页数：21

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