TY - JOUR
T1 - Testing for seasonal patterns in conditional return volatility: Evidence from Asia-Pacific markets
AU - Clare, Andrew
AU - Garrett, Ian
AU - Jones, Greg
PY - 1997
Y1 - 1997
N2 - Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in the volatility of five Asia-Pacific stock markets is investigated using the unconditional modified Levene statistic (Ho, Y. K. and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-67) and by estimating the conditional variance of each market using an ARCH procedure.
AB - Several previous studies have focused upon seasonal patterns in the unconditional volatility of intraday and daily returns data. But these investigations could be misleading without considering a fuller structural model of the time series properties of return volatility. The seasonal pattern in the volatility of five Asia-Pacific stock markets is investigated using the unconditional modified Levene statistic (Ho, Y. K. and Cheung, Y. L., 1994, Seasonal pattern in volatility in Asian stock markets, Applied Financial Economics, 4, 61-67) and by estimating the conditional variance of each market using an ARCH procedure.
UR - https://www.scopus.com/pages/publications/0347768708
M3 - Article
SN - 0960-3107
VL - 7
SP - 517
EP - 523
JO - Applied Financial Economics
JF - Applied Financial Economics
IS - 5
ER -