Return variances of selected German stocks |
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| Authors: | Ch Schlag |
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| Institution: | 1. Institut für Entscheidungstheorie und Unternehmensforschung, Universit?t Karlsruhe (TH), Postfach 69 80, D-7500, Karlsruhe 1, Germany
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| Abstract: | Models with autoregressive conditional heteroskedasticity are used to describe the behavior of the variance of the rate of return on selected German stocks. The results show that these models are superior to the commonly used process with constant variance due to their increased flexibility in situations of changing volatility. |
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