NATIONAL BUREAU OF ECONOMIC RESEARCH
NATIONAL BUREAU OF ECONOMIC RESEARCH

Alternative Models For Conditional Stock Volatility

Adrian R. Pagan, G. William Schwert

NBER Working Paper No. 2955 (Also Reprint No. r1462)
Issued in October 1990
NBER Program(s):   ME

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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Document Object Identifier (DOI): 10.3386/w2955

Published: Journal of Econometrics, Vol. 45, pp. 267-290, (1990).

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