Integrated-GARCH and non-stationary variances: Evidence from European stock markets during the 1920s and 1930s

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.