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Return variances of selected German stocks

An application of ARCH and GARCH processes

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Abstract

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.

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Authors and Affiliations

  1. Institut für Entscheidungstheorie und Unternehmensforschung, Universität Karlsruhe (TH), Postfach 69 80, D-7500, Karlsruhe 1, Germany

    Ch. Schlag

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  1. Ch. Schlag
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Schlag, C. Return variances of selected German stocks. Statistical Papers 32, 353–361 (1991). https://doi.org/10.1007/BF02925511

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  • DOI: https://doi.org/10.1007/BF02925511

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