GARCH-Stable as a Model of Futures Price Movements

Shi-Miin Liu and B Brorsen

Review of Quantitative Finance and Accounting, 1995, vol. 5, issue 2, 155-67

Abstract: A GARCH-stable process is tested as a model of the distribution of daily future prices. The GARCH-stable process cannot be rejected as a model of 12 of the 37 price series considered. The evidence regarding stable distributions as a model of futures prices is not as unfavorable as suggested by some past research. The remaining rejections of the GARCH-stable model could be due to the inappropriateness of the stable distribution assumption or to other factors such as ignoring day-of-the-week effects and price limits. Copyright 1995 by Kluwer Academic Publishers

Date: 1995
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