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- W2043955407 abstract "GARCH models propose that volatility is time varying and persistent. As a parsimonious statistical description of the process driving returns in many financial markets, these models have been very successful. However, GARCH lacks a substantiated economic motivation. This paper provides new and more definitive evidence on the mixture of distributions hypothesis, a prominent potential economic explanation. The mixture hypothesis posits that autocorrelation in the time-varying rate of information arrival leads to the volatility dependencies captured by GARCH models. Previous investigations of this hypothesis have been inconclusive. This paper makes use of a more theoretically appealing risk specification, more appropriate measures of the rate of information arrival, and higher frequency data from the currency futures market. The results show that the mixture hypothesis explains substantial portions of contracts' unique risks, but systematic GARCH remains." @default.
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- W2043955407 date "1993-10-01" @default.
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- W2043955407 title "The sources of GARCH: empirical evidence from an intraday returns model incorporating systematic and unique risks" @default.
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- W2043955407 doi "https://doi.org/10.1016/0261-5606(93)90039-e" @default.
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