posted on 2005-08-02, 11:32authored byDavid Chappell, Theodore Panagiotidis
The standardised residuals from the GARCH models fitted to three stick indices of the Athens Stock Exchange are examined for evidence of chaotic behaviour. In each case the correlation dimension is calculated for a range of embedding dimensions. The results do not support the hypothesis of chaotic behaviour; it appears that each set of residuals is 'iid'.