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

被引：132
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 ;
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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