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The class of generalized autoregressive conditional heteroscedastic (GARCH) models has proved particularly valuable in modelling time series with time varying volatility. These include financial data, which can be particularly heavy tailed.This paper investigates the time-series behavior of stock returns for Zimbabwe stock market. In most cases, higher average returns appear to be associated with a higher level of volatility. Testing the relationship between stock returns and unexpecteddoi:10.2139/ssrn.2400088 fatcat:kjati7l555ehznuzhp2gyuqh4a