Non Stationarity Characteristics of the S&P500 Returns

Ibrahim Ahamada ()
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Ibrahim Ahamada: GREQAM - Groupement de Recherche en Économie Quantitative d'Aix-Marseille - EHESS - École des hautes études en sciences sociales - AMU - Aix Marseille Université - ECM - École Centrale de Marseille - CNRS - Centre National de la Recherche Scientifique, EUREQUA - Equipe Universitaire de Recherche en Economie Quantitative - UP1 - Université Paris 1 Panthéon-Sorbonne - CNRS - Centre National de la Recherche Scientifique

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Abstract: In this paper we study the characteristics of the non stationarity of the covariance structure of the S\&P 500 returns by analyzing the time spectral density of the data. We show that the S\&P 500 returns has the same characteristics as the modulate white noise process. So, some precautions must be taken before applying traditional stationary models to describe like long size financial time series.

Keywords: SP500 RETURNS; unconditional volatility; time frequency analysis (search for similar items in EconPapers)
Date: 2003
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Published in Economics Bulletin, 2003, 3 (32), pp.1-7

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00272870

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