Using the correlation dimension to detect non-linear dynamics: Evidence from the Athens Stock Exchange

Abstract

The standardised residuals from GARCH models fitted to three stock 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.Non-linear Dynamics, Stock Indices, Chaos, Correlation Dimension