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Title: | Mean reversion, non-linearity and regime in time series of Ibex 35 | Other Titles: | Reversión a la media, no linealidad y cambios de régimen en la evolución temporal del IBEX35 | Authors: | Pérez Rodríguez, Jorge Vicente Torra, Salvador |
UNESCO Clasification: | 530202 Modelos econométricos | Keywords: | Análisis de series temporales Ibex35 |
Issue Date: | 2003 | Publisher: | 0210-2412 | Journal: | Revista Española de Financiación y Contabilidad | Abstract: | 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 | Source: | Revista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 32, p. 1177-1203 |
Appears in Collections: | Artículos |
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