TY - JOUR
T1 - NONLINEAR DYNAMICS AND THE DISTRIBUTION OF DAILY STOCK INDEX RETURNS
AU - Brorsen, B. Wade
AU - Yang, Seung Ryong
PY - 1994
Y1 - 1994
N2 - Three alternative models of daily stock index returns are considered: (1) a diffusion‐jump process; (2) an extended generalized autoregressive conditional heteroskedasticity (GARCH) process; and (3) a combination of the GARCH and jump processes. Non‐nested tests between the diffusion‐jump process and a GARCH(1.1) process with t‐distributed errors reject the diffusion‐jump process, but do not always reject the GARCH process. Kolmogorov‐Smirnov tests of fit, however, reject the GARCH(1,1)‐t process for all cases. Nonlinear dependence is not removed for the value‐weighted index and the S&P 500 stock index; therefore, deterministic chaos cannot be dismissed.
AB - Three alternative models of daily stock index returns are considered: (1) a diffusion‐jump process; (2) an extended generalized autoregressive conditional heteroskedasticity (GARCH) process; and (3) a combination of the GARCH and jump processes. Non‐nested tests between the diffusion‐jump process and a GARCH(1.1) process with t‐distributed errors reject the diffusion‐jump process, but do not always reject the GARCH process. Kolmogorov‐Smirnov tests of fit, however, reject the GARCH(1,1)‐t process for all cases. Nonlinear dependence is not removed for the value‐weighted index and the S&P 500 stock index; therefore, deterministic chaos cannot be dismissed.
UR - http://www.scopus.com/inward/record.url?scp=84986500375&partnerID=8YFLogxK
UR - http://www.scopus.com/inward/citedby.url?scp=84986500375&partnerID=8YFLogxK
U2 - 10.1111/j.1475-6803.1994.tb00185.x
DO - 10.1111/j.1475-6803.1994.tb00185.x
M3 - Article
AN - SCOPUS:84986500375
SN - 0270-2592
VL - 17
SP - 187
EP - 203
JO - Journal of Financial Research
JF - Journal of Financial Research
IS - 2
ER -