GARCH-Stable as a Model of Futures Price Movements.
A GARCH-stable process is tested as a model of the distribution of daily future prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by some past research. The remaining rejections of the GARCH-stable model could be due to the inappropriateness of the stable distribution assumption or to other factors such as ignoring day-of-the-week effects and price limits. Copyright 1995 by Kluwer Academic Publishers
Year of publication: |
1995
|
---|---|
Authors: | Liu, Shi-Miin ; Brorsen, B Wade |
Published in: |
Review of Quantitative Finance and Accounting. - Springer. - Vol. 5.1995, 2, p. 155-67
|
Publisher: |
Springer |
Saved in:
Saved in favorites
Similar items by person
-
Maximum Likelihood Estimation of a Garch-Stable Model.
Liu, Shi-Miin, (1995)
-
A Comprehensive Test of Futures Market Disequilibrium.
Lukac, Louis P, (1990)
-
A Dynamic Analysis of Prices in the U.S. Rice Marketing Channel.
Brorsen, B Wade, (1985)
- More ...