ARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns

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dc.creatorMcCauley, Joseph L.
dc.date2008-03-31
dc.date.accessioned2026-07-07T12:05:45Z
dc.date.available2026-07-07T12:05:45Z
dc.descriptionARCH and GARCH models assume either i.i.d. or (what economists lable as) white noise as is usual in regression analysis while assuming memory in a conditional mean square fluctuation with stationary increments. We will show that ARCH/GARCH is inconsistent with uncorrelated increments, violating the i.i.d. and white assumptions and finance data and the efficient market hypothesis as well.
dc.identifierhttps://arxiv.org/abs/0803.4480
dc.identifierhttp://arxiv.org/abs/0803.4480
dc.identifier.urihttp://salesiana.dossiersoluciones.com/handle/123456789/208464
dc.subjectStatistical Finance
dc.subjectData Analysis, Statistics and Probability
dc.subjectPhysics and Society
dc.titleARCH and GARCH Models vs. Martingale Volatility of Finance Market Returns
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