Heteroskedasticity in Stock Returns

• 1 September 1990
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 45  (4) , 1129-1155
• https://doi.org/10.2307/2328718

Abstract

Keywords

• HETEROSKEDASTICITY
• STOCK RETURN
• AGGREGATE STOCK
• VARYING BETAS
• RETURN VARIANCES
• VOLATILITIES
• PREDICTED BY THIS MODEL