• Stock returns and volatility: Evidence from the Athens Stock market index

      Apergis, Nicholas; Eleftheriou, Sofia; University of Ioannina; Thessaloniki Stock Exchange (Springer, 2001-03)
      This paper investigates the volatility of the Athens Stock excess stock returns over the period 1990–1999 through the comparison of various conditional hetero-skedasticity models. The empirical results indicate that there is significant evidence for asymmetry in stock returns, which is captured by a quadratic GARCH specification model, while there is strong persistence of shocks into volatility.