Koh, Jason S. H. - University of Western Sydney; College of Business; … - 2008
, ARCH (1), GARCH (1, 1) and its extensions as compared to econophysics models such as Power Law model, Boltzmann-Gibbs (BG … periods and sub-periods of markets. The results show the robustness of Power Law analysis, with the Power Law exponent (0.4 to … return. However, the procedure for testing empirical data against a hypothesised power-law distribution using a simple rank …