Stock return market volatility and time-varying betas in the Toronto Stock Exchange

A study investigates the time series properties of Canadian stock returns using daily data from the Toronto Stock Exchange (TSE) index and several sub-index portfolios. The sub-index portfolios includes stocks from the major Canadian industries such as financial services, gold and silver mines, communications and media, paper and forest products, consumer goods, and others. Stock returns are modeled as autoregressive processes with time-varying parameters and errors following an EGARCH process. There is no evidence that the first-order autocorrelations are negatively linked to volatility and that sub-index betas are time varying.