Breaks and outliers when modelling the volatility of the U.S. stock market

Vasiliki Chatzikonstanti

Applied Economics, 2017, vol. 49, issue 46, 4704-4717

Abstract: This study analyses volatility persistence of the U.S. stock market, after taking into account the role of breaks and outliers. By employing a wavelet-based algorithm, it identifies several outliers which are comfortably associated with major events such as the ‘Black Monday’ and the Asian crisis. There is also evidence of clustering of breaks and a substantial variation in the properties of the identified segments.

Date: 2017
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DOI: 10.1080/00036846.2017.1293785

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