Autoregressive Conditional Heteroskedasticity Models and the Dynamic Structure of the Athens Stock Exchange


 

 

        Margiora Filippa
        Supervisor: I. Panaretos
 

        CHAPTER 1
        ARCH MODELS

        1.1 Introduction

        1.2 Autoregressive Conditional Heteroskedasticity Processes

           1.2.1 Modelling the Conditional Variance

           1.1.2 Modelling the Conditional Mean

 

        CHAPTER 2

        MAXIMUM LIKELIHOOD ESTIMATION FOR ARCH MODELS

        2.1 Maximum Likelihood Estimation
        2.2 Maximum Likelihood Estimation Under Non - Normality

        2.3 Quasi - Maximum Likelihood Estimation

  

        CHAPTER 3    
        EMPIRICAL EVIDENCE FROM THE GREEK STOCK MARKET.  A PRELIMINARY ANALYSIS

  

        CHAPTER 4
        MODELLING THE DYNAMIC STRUCTURES OF THE GREEK STOCK MARKET: APPLYING AN ARCH MODEL

 

 

        CHAPTER 5
        CONCLUSION

        APPENDIX

        REFERENCES