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
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 494 times in the SSCI and SCOPUS through 2014
© Copyright 1990, Elsevier
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