Are GARCH innovations independent - a long term assessment for the S&P 500

GARCH specifications have been widely applied in financial literature and practice. For purposes of (Quasi) ML (QML) estimation innovations to GARCH processes are assumed identically and independently distributed (iid) with mean zero and unit variance. In this note GARCH innovations entering daily S\&P 500 quotes are diagnosed to lack independence and to signal ex-ante the directions of stock price changes.

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Year of publication:	2015
Authors:	Herwartz, Helmut
Publisher:	ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften, Leibniz-Informationszentrum Wirtschaft

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Series:	Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Financial Econometrics ; B22-V3
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Conference Paper
Language:	English
Other identifiers:	hdl:10419/113109 [Handle] RePEc:zbw:vfsc15:113109 [RePEc]
Classification:	C22 - Time-Series Models ; G14 - Information and Market Efficiency; Event Studies ; C01 - Econometrics
Source:	EconStor

Persistent link: https://www.econbiz.de/10011301705