Stock Market Indexes: A random walk test with ARCH (q) disturbances

Ben Naceur, Hassen (2014): Stock Market Indexes: A random walk test with ARCH (q) disturbances. Published in: International Journal of Innovation and Scientific Research , Vol. 8, No. 2 (September 2014): pp. 305-316.

Abstract

We will here study the stock market indexes, in the context of a random walk test with ARCH (q) disturbances. This model based on these theoretical predictions has been valuated from the Tunis Stock market data. The coherence of the parameters signs and the statistical relevance of the estimations are validating the choice of the conditionally heteroskedastic random walk model

• Item Type: MPRA Paper
• Language: English
• Keywords: white noise; index; random walk; ARCH (or GARCH) model
• Subjects: C - Mathematical and Quantitative Methods > C1 - Econometric and Statistical Methods and Methodology: General > C13 - Estimation: General; C - Mathematical and Quantitative Methods > C5 - Econometric Modeling > C58 - Financial Econometrics

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