Relations Between Serial Correlation and Volatility: Is There a LeBaron Effect in Brazil?
This paper examines the relation between serial correlation and volatility of the Ibovespa index returns and extends the empirical evidence of the LeBaron effect for higher orders of serial correlation. We employ an exponential general autoregressive conditional heteroskedastic model to estimate vol...
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| Format: | Article |
| Language: | English |
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Brazilian Society of Finance
2014-06-01
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| Series: | Revista Brasileira de Finanças |
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| Online Access: | http://bibliotecadigital.fgv.br/ojs/index.php/rbfin/article/view/9994 |