An Introduction to Volatility Models with Indices

M.S.Peiris and A.Thavaneswaran

Abstract

This paper considers a class of volatility models generated by autoregressive (AR) type models with indices.Some results associated with the autocorrelation function (acf) of this class are given and the spectral density is obtained in terms of the kurtosis of the error distribution and the model parameters.

Keywords: Time series, Frequency, Spectrum, Autoregression, Correlation, Index, Moving average, Kurtosis, Moments, ARCH, GARCH.

AMS Subject Classification: Primary:62M10; Secondary: 60G10, 91B84.