Beschreibung:
<jats:title>Abstract</jats:title><jats:sec><jats:label /><jats:p><jats:italic>Major research on equity index dynamics has investigated only US indices (usually the S&P 500) and has provided contradictory results. In this paper a clarification and extension of that previous research is given. We find that European equity indices have quite different dynamics from the S&P 500. Each of the European indices considered may be satisfactorily modelled using either an affine model with price and volatility jumps or a GARCH volatility process without jumps. The S&P 500 dynamics are much more difficult to capture in a jump‐diffusion framework</jats:italic>.</jats:p></jats:sec>