search query: @indexterm ARCH MODELS / total: 8
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| Author: | Dankenbring, H. Missong, M. |
| Title: | GARCH-Effekte auf dem deutschen Aktienmarkt |
| Journal: | Zeitschrift für Betriebswirtschaft
1997 : VOL. 67:3, p. 311-331 |
| Index terms: | STOCK MARKETS CAPM TIME SERIES ARCH MODELS EMPIRICAL RESEARCH GERMANY |
| Language: | ger |
| Abstract: | Based on monthly returns of 95 German stocks during the period 1960 to 1994, a time series analysis of the CAPM is conducted. In a traditional Least Squares approach, CAPM residuals exhibit significant GARCH effects. A reanalysis of the data taking generalized ARCH effects into account leads to a higher precision in the estimated "Return-Betas", as measured by their estimated standard arrors. Furthermore, implications of GARCH modelling for a subsequent cross section analysis of the CAPM, as well as for tests of the efficient markets hypothesis are discussed. |
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