Fig. 7

The AR-GARCH strategy curve and the buy-and-hold strategy curve. The AR-GARCH strategy is not always effective. Its returns mainly occurred in the crisis period of 2008. During other periods, the strategy did not perform better than the buy-and-hold strategy. This means that the market is more efficient during ordinary times than during the crisis period. In the latter period, one can get excess returns in the inefficient market