Stock Market Indexes: A random walk test with ARCH (q) disturbances

Hassen Ben Naceur

MPRA Paper from University Library of Munich, Germany

Abstract: We will here study the stock market indexes, in the context of a random walk test with ARCH (q) disturbances. This model based on these theoretical predictions has been valuated from the Tunis Stock market data. The coherence of the parameters signs and the statistical relevance of the estimations are validating the choice of the conditionally heteroskedastic random walk model

Keywords: white noise; index; random walk; ARCH (or GARCH) model (search for similar items in EconPapers)
JEL-codes: C13 C58 (search for similar items in EconPapers)
Date: 2014-09
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Published in International Journal of Innovation and Scientific Research 2.8(2014): pp. 305-316

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Persistent link: https://EconPapers.repec.org/RePEc:pra:mprapa:78978

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