Volume 8, Issue 2, September 2014, Pages 305–316
Hassen Ben Naceur1
1 Université Tunis El Manar, Faculté des Sciences Economiques et de Gestion de Tunis, Tunisia
Original language: English
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.
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.
Hassen Ben Naceur1
1 Université Tunis El Manar, Faculté des Sciences Economiques et de Gestion de Tunis, Tunisia
Original language: English
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.
