Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/113109
Authors: 
Herwartz, Helmut
Year of Publication: 
2015
Series/Report no.: 
Beiträge zur Jahrestagung des Vereins für Socialpolitik 2015: Ökonomische Entwicklung - Theorie und Politik - Session: Financial Econometrics B22-V3
Abstract: 
GARCH specifications have been widely applied in financial literature and practice. For purposes of (Quasi) ML (QML) estimation innovations to GARCH processes are assumed identically and independently distributed (iid) with mean zero and unit variance. In this note GARCH innovations entering daily S\&P 500 quotes are diagnosed to lack independence and to signal ex-ante the directions of stock price changes.
JEL: 
C22
G14
C01
Document Type: 
Conference Paper

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