The stability of ARCH models across Australian financial futures markets

Robert Brooks and John Lee

Applied Financial Economics, 1997, vol. 7, issue 4, 347-359

Abstract: The applicability is explored of using ARCH/GARCH models to investigate Australian financial futures data. The extent to which the parameters of the models change over time is examined through analysing the data contract by contract. The results do vary over time and simple models such as the ARCH(1) model provide a reasonably good fit to the data.

Date: 1997
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DOI: 10.1080/096031097333466

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