This paper compares several statistical models for monthly stock return volatility. The focus is on U.S. data from 1834 … volatility that are inconsistent with stationary models for conditional heteroskedasticity, We show the importance of … of stock volatility, even over the 1834-1925 period …

It appears that volatility in equity markets is asymmetric: returns and conditional volatility are negatively … correlated. We provide a unified framework to simultaneously investigate asymmetric volatility at the firm and the market level … empirical evidence on asymmetry to Japanese stocks. Although volatility asymmetry is present and significant at the market and …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … for this volatility feedback effect. The resulting model is asymmetric, because volatility feedback amplifies large … for large crashes. The model also implies that volatility feedback is more important when volatility is high. In U …

uncertainty (i.e., growth rate volatility) as being time-varying. The magnitudes of the predictable variation and changing … volatility in growth rates, as in the data, are quite small. These growth rate dynamics, for which we provide empirical support …, the model also implies that dividend yields predict returns and that market return volatility is stochastic. The main …

volatility …

reservations about the impact of foreign speculators on both expected" returns and market volatility. We propose a cross … receipts country funds and other financial instruments, in an extranational market and market volatility in emerging equity … volatility and correlation are less robust." …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 … times larger. We show in an extension that Bayesian learning about stochastic volatility is faster for bad states than good …

) levels of volatility. These results provide a novel perspective on both the equity risk premium and excess volatility puzzles …