A Conditionally Heteroskedastic Time Series Model for Speculative Prices and Rates of Return

1 August 1987

journal article
Published by JSTOR in The Review of Economics and Statistics

Vol. 69 (3) , 542
https://doi.org/10.2307/1925546

Abstract

The distribution of speculative price changes and rates of return data tend to be uncorrelated over time but characterized by volatile and tranquil periods. A s...

Keywords

TRANQUIL
UNCORRELATED
VOLATILE
HETEROSKEDASTIC TIME
CONDITIONALLY HETEROSKEDASTIC
TIME SERIES MODEL

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