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- W3124527974 abstract "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." @default.
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- W3124527974 date "1990-07-01" @default.
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- W3124527974 title "Alternative models for conditional stock volatility" @default.
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- W3124527974 doi "https://doi.org/10.1016/0304-4076(90)90101-x" @default.
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