Liu, Lin; Chen, Qiguang - In: Financial innovation : FIN 6 (2020) 38, pp. 1-21
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 empirical purposes, the Sharpe ratio can be formulated with a … author also constructs empirical AR-GARCH models and computes the Sharpe ratio for S&P 500 Index and the SSE Composite Index. …