Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom

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Title:	Nonlinear Dynamics in Real-Time Equity Market Indices: Evidence from the United Kingdom
Authors:	Abhyankar, A.;Copeland, L. S.;黃文光;Wong, W.
Contributors:	淡江大學財務金融學系
Date:	1995-07-01
Issue Date:	2011-10-24 10:32:33 (UTC+8)
Publisher:	Blackwell Publishers; Royal Economic Society
Abstract:	This paper tests for the presence of nonlinear dependence and chaos in real-time returns on the U.K. FTSE-100 Index, using a six month sample of about 60,000 observations. Since there is clear evidence of nonlinearity, we follow other researchers in this field by applying the same tests to the residuals from a GARCH process fitted to the data, in order to find out whether or not the nonlinearity can be explained by this type of model. In the event, our results suggest that GARCH can explain some but not all of the observed nonlinear dependence.
Relation:	Economic Journal 105(431), pp.864-880
DOI:	10.2307/2235155
Appears in Collections:	[Graduate Institute & Department of Banking and Finance] Journal Article

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