Mean reversion, non-linearity and regime in time series of Ibex 35

Título:	Mean reversion, non-linearity and regime in time series of Ibex 35
Otros títulos:	Reversión a la media, no linealidad y cambios de régimen en la evolución temporal del IBEX35
Autores/as:	Pérez Rodríguez, Jorge Vicente Torra, Salvador
Clasificación UNESCO:	530202 Modelos econométricos
Palabras clave:	Análisis de series temporales Ibex35
Fecha de publicación:	2003
Editor/a:	0210-2412
Publicación seriada:	Revista Española de Financiación y Contabilidad
Resumen:	This paper studies the nonstationary and nonlinear dynamics of the stock returns on the Ibex35 Stock Exchange Market. We analyze the nonstationary and nonlinear path of time series using unit root tests, mean reversion test, long-term memory test, BDS standard and recursive test, and regime switching models for the volatility. These are analyzed and fitted during the period 30/12/1989 to 10/2/2000. The results of the nonstationary and nonlinearity tests imply that we may have a good chance to fit and forecast more accurately the daily stock returns by using nonlinear models.
URI:	http://hdl.handle.net/10553/47046
ISSN:	0210-2412
Fuente:	Revista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 32, p. 1177-1203
Colección:	Artículos

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