Title of article
Integrated-GARCH and non-stationary variances: Evidence from European stock markets during the 1920s and 1930s
Author/Authors
Taufiq Choudhry، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 1995
Pages
5
From page
55
To page
59
Abstract
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.
Keywords
Integrated-GARCH , Conditional variance , Volatility , ARCH effect , Persistence
Journal title
Economics Letters
Serial Year
1995
Journal title
Economics Letters
Record number
433898
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