Heteroskedasticity in Stock Return Data: Volume versus GARCH Effects

• 1 March 1990
• journal article
• Published by JSTOR in The Journal of Finance
• Vol. 45  (1) , 221-229
• https://doi.org/10.2307/2328817

Abstract

Keywords

• STOCK RETURN DATA
• HETEROSKEDASTICITY
• TIME DEPENDENCE IN THE PROCESS
• ARRIVAL TIME
• GARCH EFFECTS
• DAILY RETURNS
• VARIANCE