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Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model

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Nonlinear Time Series Analysis of Economic and Financial Data

Part of the book series: Dynamic Modeling and Econometrics in Economics and Finance ((DMEF,volume 1))

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Abstract

Over the past decade, a large body of literature has evolved documenting changing volatility (ARCH) in financial data. For a review, see Bollerslev, Chou, Kroner (1992) and Bollerslev, Engle, Nelson (1994). This literature has generated numerous statistical methods for volatility forecasting, which are widely used in both the financial and the policy making sectors.

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Author information

Authors and Affiliations

  1. General Electric, USA

    Patrick de Fontnouvelle

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  1. Patrick de Fontnouvelle
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Editors and Affiliations

  1. East Carolina University, USA

    Philip Rothman

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© 1999 Springer Science+Business Media New York

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de Fontnouvelle, P. (1999). Searching for the Sources of Arch Behavior: Testing the Mixture of Distributions Model. In: Rothman, P. (eds) Nonlinear Time Series Analysis of Economic and Financial Data. Dynamic Modeling and Econometrics in Economics and Finance, vol 1. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5129-4_13

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  • DOI: https://doi.org/10.1007/978-1-4615-5129-4_13

  • Publisher Name: Springer, Boston, MA

  • Print ISBN: 978-1-4613-7334-6

  • Online ISBN: 978-1-4615-5129-4

  • eBook Packages: Springer Book Archive

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