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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
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.
ISSN: 0210-2412
Source: Revista Espanola de Financiacion y Contabilidad[ISSN 0210-2412],v. 32, p. 1177-1203
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