ALTERNATIVE MODELS FOR CONDITIONAL STOCK VOLATILITY

被引：510

作者：

PAGAN, AR

SCHWERT, GW

机构：

[1] AUSTRALIAN NATL UNIV,CANBERRA,ACT 2600,AUSTRALIA

[2] NATL BUR ECON RES,CAMBRIDGE,MA 02138

来源：

JOURNAL OF ECONOMETRICS | 1990年 / 45卷 / 1-2期

基金：

美国国家科学基金会;

关键词：

D O I：

10.1016/0304-4076(90)90101-X

中图分类号：

F [经济];

学科分类号：

02 ;

摘要：

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. © 1990.

引用

页码：267 / 290

页数：24

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