摘要：The present study investigated the underlying process of the stock price returns time series of the oil sector taking as an example the case of Hellenic Petroleum SA, Greece. The data used are daily for over a 13 – year period. Nonlinearities were detected with different univariate tests that surveyed the independence and nonlinear deterministic structure of the time series studied. The data employed for these tests are the closing prices of Hellenic Petroleum SA, Greece. All the tests confirmed the existence of nonlinearities in the time series studied. Furthermore, a Layapunov test was employed to detect the chaotic behaviour of the stock pricesunder review. As it is well known, the macroeconomic environment plays an important role in the formation of the stock prices. Thus, the Johansen cointegration technique was employed to survey the inflation as an explanatory variable of the stock prices behaviour. Confirming that the two variables are not cointegrated, the noisy Mackey – Glass model was estimated, which is an equation with errors that follow an F- GARCH (p, q) process. This model was used in order to become able to interpret the volatility clustering as an endogenous phenomenon.
