The Stability of ARCH Models Across Australian Financial Markets

J. Lee and Robert Brooks

Working Papers from Melbourne - Centre in Finance

Abstract: This paper esplores the applicability of ARCH/ GARCH models to Australian financial structure data. In particular we focus on the extent to which the parameters of the models change over time by analysing the data contract. We find the results to vary over time and that simple models such as the ARCH(1) model provide a seasonably good fit to the data.

Keywords: FINANCIAL MARKET; PRICES; ECONOMIC MODELS (search for similar items in EconPapers)
JEL-codes: G13 (search for similar items in EconPapers)
Pages: 32 pages
Date: 1996
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Persistent link: https://EconPapers.repec.org/RePEc:fth:melrfi:96-9

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