Alternative Models for Conditional Stock Volatility


Adrian R. Pagan

Australian National University


G. William Schwert

University of Rochester, Rochester, NY 14627
and National Bureau of Economic Research


Journal of Econometrics, 45 (July 1990) 267-290

Journal of Econometrics All Star Paper


This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834-1925 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 nonstationarity of stock volatility.

Key words: Volatility, Heteroskedasticity, Stock Market, ARCH, GARCH, Nonparametric, Kernel, Fourier

JEL Classifications: G14, C22


Cited 616 times in the SSCI and SCOPUS through 2018
© Copyright 1990, Elsevier
The following file contains the reprint of this paper in Acrobat's portable data format (.pdf).

Click here to download this paper in PDF format.


Return to Publications Page

© Copyright 1998-2019, G. William Schwert

Last Updated on 2/24/2019