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| Author: | Baillie, R.T. DeGennaro, R.P. |
| Title: | Stock returns and volatility |
| Journal: | Journal of Financial and Quantitative Analysis
1990 : JUNE, VOL. 25:2, p. 203-214 |
| Index terms: | PORTFOLIO INVESTMENT SHARE PRICES EARNINGS PER SHARE |
| Language: | eng |
| Abstract: | Use of the generalized autoregressive conditional heteroskedasticity model to estimate mean and variance processes in stock portfolio returns and volatility. Model of stock returns and volatility. Analysis. Monthly stock returns volatility. 3 Tables illustrate the study. |
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