INTEGRATED-GARCH AND NONSTATIONARY VARIANCES - EVIDENCE FROM EUROPEAN STOCK MARKETS DURING THE 1920S AND 1930S

被引：5
|
作者：
CHOUDHRY, T
机构：
[1] Department of Economics, University of Wales, Swansea
来源：
ECONOMICS LETTERS | 1995年 / 48卷 / 01期
关键词：
INTEGRATED-GARCH; CONDITIONAL VARIANCE; VOLATILITY; ARCH EFFECT; PERSISTENCE;
D O I：
10.1016/0165-1765(94)00583-N
中图分类号：
F [经济];
学科分类号：
02 ;
摘要：
This paper provides a study of the persistence of stock return volatility in five European markets during the 1920s and 1930s. The empirical investigation is conducted using the Integrated-GARCH model. Results show that for the bulk of the series shocks to volatility are permanent, implying a significant impact of volatility on stock prices.
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页码：55 / 59
页数：5
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