Liu, Lin; Chen, Qiguang - In: Financial Innovation 6 (2020) 1, pp. 1-21
This paper derives a new method for comparing the weak-form efficiency of markets. The author derives the formula of the Sharpe ratio from the ARMA-GARCH model and finds that the Sharpe ratio just depends on the coefficients of the AR and MA terms and is not affected by the GARCH process. For...