The stability of ARCH models across Australian financial futures markets
The applicability is explored of using ARCH/GARCH models to investigate Australian 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.
Document Type: Research Article
Publication date: 01 August 1997
- Editorial Board
- Information for Authors
- Subscribe to this Title
- Ingenta Connect is not responsible for the content or availability of external websites
Receive new issue alert- Access Key
- Free content
- Partial Free content
- New content
- Open access content
- Partial Open access content
- Subscribed content
- Partial Subscribed content
- Free trial content