search query: @indexterm ARCH models / total: 8
reference: 3 / 8
| Author: | Blair, B. J. Poon, S.-H. Taylor, S. J. |
| Title: | Modelling S&P 100 volatility: the information content of stock returns |
| Journal: | Journal of Banking and Finance
2001 : SEP, VOL. 25:9, p. 1665-1679 |
| Index terms: | ARCH MODELS INFORMATION STOCK RETURNS VOLATILITY |
| Language: | eng |
| Abstract: | Theoretical models that relate volatility to the quantity of information are extended to a multi-asset setting and it is deduced that stock returns may or may not have incremental information when modelling index volatility, depending on the sources of information that move stock prices. The first empirical study that can help resolve this theoretical uncertainty is presented. |
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