| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w2955 |
| 来源ID | Working Paper 2955 |
| Alternative Models For Conditional Stock Volatility | |
| Adrian R. Pagan; G. William Schwert | |
| 发表日期 | 1989-05-01 |
| 出版年 | 1989 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Econometrics ; Macroeconomics |
| URL | https://www.nber.org/papers/w2955 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/560230 |
| 推荐引用方式 GB/T 7714 | Adrian R. Pagan,G. William Schwert. Alternative Models For Conditional Stock Volatility. 1989. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w2955.pdf（362KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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