Changes in the unconditional variance and arch
ISSN: 1988-8767
Year of publication: 2014
Issue: 759
Type: Working paper
More publications in: Notas técnicas: [continuación de Documentos de Trabajo FUNCAS]
Sustainable development goals
Abstract
This paper argues that a simple white noise process with one jump in its unconditional variance may give rise to the presence of ARCH effects, and, surprisingly, this may occur in determinate circumstances even when the jump is very brief. Though ARCH effects are not denied, this evidence, together with some empirical results obtained from Standard & Poor�s 500 returns, allows one to question whether they are a general and regular property of so many economic and financial series.