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The document discusses the characteristics of logarithmic stock returns, highlighting their leptokurtic nature, heteroskedasticity, and the presence of change-points in volatility. It critiques traditional models like Stochastic Volatility (SV) and Autoregressive Conditional Heteroskedasticity (ARCH) for focusing on short-term volatility changes, proposing a piecewise constant model for long-term volatility estimation. The analysis is based on German stock data from 1990 to 1992, demonstrating that heterosk
- Author
- Hokyin Lo
- Language
- EN