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  • 标题:A Garch Model Test of The Random Walk Hypothesis: Empirical Evidence from The Platinum Market
  • 本地全文:下载
  • 作者:Knowledge Chinhamu ; Delson Chikobvu
  • 期刊名称:Mediterranean Journal of Social Sciences
  • 电子版ISSN:2039-2117
  • 出版年度:2014
  • 卷号:5
  • 期号:14
  • 页码:77-83
  • DOI:10.5901/mjss.2014.v5n14p77
  • 出版社:Mediterranean Center of Social and Educational Research (MCSER)
  • 摘要:The paper investigates whether there are periods when platinum prices follow the random walk process (weak-form efficient) and periods when they deviate from the random walk theory (mean reversion). Monthly log returns of platinum prices are examined using the Augmented Dickey-Fuller test (ADF) and a GARCH model with time-varying properties. A GARCH model with time-varying properties is able to capture periods when the random walk theory may be true and periods when it may be false. This study confirms the existence of random walk for platinum prices over the period January 1970 to May 2012. From the year 1999 to the year 2010, the drift parameter is positive and statistically significant. Therefore, the platinum market is regarded as weak-form efficient.
  • 关键词:GARCH model; Market efficiency; Random-walk hypothesis; mean reversion; Time-varying parameters.
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