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International Journal of Innovation and Scientific Research
ISSN: 2351-8014
 
 
Sunday 31 May 2020

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  Call for Papers (June 2020)  
 
 
 

Stock Market Indexes: A random walk test with ARCH (q) disturbances


Volume 8, Issue 2, September 2014, Pages 305–316

 Stock Market Indexes: A random walk test with ARCH (q) disturbances

Hassen Ben Naceur

Original language: English

Received 21 June 2014

Copyright © 2014 ISSR Journals. This is an open access article distributed under the Creative Commons Attribution License, which permits unrestricted use, distribution, and reproduction in any medium, provided the original work is properly cited.

Abstract


We will here study the stock market indexes, in the context of a random walk test with ARCH (q) disturbances. This model based on these theoretical predictions has been valuated from the Tunis Stock market data. The coherence of the parameters signs and the statistical relevance of the estimations are validating the choice of the conditionally heteroskedastic random walk model.

Author Keywords: white noise, index, random walk, ARCH (or GARCH) model.


How to Cite this Article


Hassen Ben Naceur, “Stock Market Indexes: A random walk test with ARCH (q) disturbances,” International Journal of Innovation and Scientific Research, vol. 8, no. 2, pp. 305–316, September 2014.