Alternative Models For Conditional Stock Volatility
Adrian Pagan () and
No 2955, NBER Working Papers from National Bureau of Economic Research, Inc
This 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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Published as Journal of Econometrics, Vol. 45, pp. 267-290, (1990).
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Journal Article: Alternative models for conditional stock volatility (1990)
Working Paper: ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY (1989)
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Persistent link: https://EconPapers.repec.org/RePEc:nbr:nberwo:2955
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