Some Relations between Volatility and Serial Correlations in Stock Market Returns

Blake Lebaron ()

The Journal of Business, 1992, vol. 65, issue 2, 199-219

Abstract: This article explores the relation between serial correlation and volatility for several different stock return series at daily and weekly frequencies. It is found that serial correlations are changing over time and are related to stock return volatility. An extension to the GARCH model is proposed and estimated, revealing parameters consistent with other findings in this article. Copyright 1992 by University of Chicago Press.

Date: 1992
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Related works:
Working Paper: SOME RELATIONS BETWEEN VOLATILITY AND SERIAL CORRELATIONS IN STOCK MARKET RETURNS (1990)
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Persistent link: https://EconPapers.repec.org/RePEc:ucp:jnlbus:v:65:y:1992:i:2:p:199-219

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