The stability of ARCH models across Australian financial futures markets

Robert D. Brooks, John H.H. Lee

Research output: Contribution to journalArticleResearchpeer-review

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Abstract

The applicability is explored of using ARCH/GARCH models to investigate Austra-lian financial futures data. The extent to which the parameters of the models change over time is examined through analysing the data contract by contract. The results do vary over time and simple models such as the ARCH(1) model provide a reasonably good fit to the data.

Original languageEnglish
Pages (from-to)347-359
Number of pages13
JournalApplied Financial Economics
Volume7
Issue number4
DOIs
Publication statusPublished - 1 Jan 1997
Externally publishedYes

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