COMMON VOLATILITY IN INTERNATIONAL EQUITY MARKETS

被引：101

作者：

ENGLE, RF ^{[1
]}

SUSMEL, R ^{[1
]}

机构：

[1] UNIV S FLORIDA,DEPT ECON,TAMPA,FL 33620

来源：

JOURNAL OF BUSINESS & ECONOMIC STATISTICS | 1993年 / 11卷 / 02期

关键词：

ARCH; COMMON FEATURES; FACTOR MODEL;

D O I：

10.2307/1391368

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

In this article, we take advantage of the time-varying structure of stock-returns variances to investigate whether two international stock markets share the same volatility process. We use a test recently developed by Engle and Kozicki. This test is also used to assess the validity of a one-factor autoregressive conditional heteroscedasticity model. We find that some international stock markets have the same time-varying volatility.

引用

页码：167 / 176

页数：10

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