Alternative Models For Conditional Stock Volatility
AbstractThis paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-19:5 because the post-1926 data have been analyzed in more detail by others. Also, the Great Depression had levels of stock volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry of stock volatility, even over the 1834-1925 period.
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Bibliographic InfoPaper provided by Rochester, Business - General in its series Papers with number 89-02.
Length: 22 pages
Date of creation: 1989
Date of revision:
Contact details of provider:
Postal: UNIVERSITY OF ROCHESTER, CENTER FOR MANUFACTURING AND OPERATIONS MANAGEMENT, WILLIAM E. SIMON GRADUATE SCHOOL OF BUSINESS ADMINISTRATION,
Web page: http://www.simon.rochester.edu/
More information through EDIRC
prices ; business cycles ; homoskedasticity;
Other versions of this item:
- Pagan, Adrian R. & Schwert, G. William, 1990. "Alternative models for conditional stock volatility," Journal of Econometrics, Elsevier, vol. 45(1-2), pages 267-290.
- Adrian R. Pagan & G. William Schwert, 1990. "Alternative Models For Conditional Stock Volatility," NBER Working Papers 2955, National Bureau of Economic Research, Inc.
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