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| Author: | Reitgruber, W. Sterlina, I. |
| Title: | On the forecastability of share prices on the Viennese stock exchange |
| Journal: | Empirical Economics
1995 : VOL. 20:3, p. 415-434 |
| Index terms: | FORECASTING SHARE PRICES STOCK EXCHANGES |
| Language: | eng |
| Abstract: | In this paper the Viennese stock exchange data are analyzed by using ARMA and GARCH technology. After using AIC and BIC for estimating the linear structure of the time series, to the resulting innovations a GARCH (1,1) model is fit. The resulting residuals are then tested for serial independence and constancy of its distribution to check whether the models are reasonable. Main result is that the residuals of this ARMA-GARCH (1,1) model iid for index data and significantly less well-behaved for stock data. |
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