Mitchell, Heather; Brown, Rob; Easton, Stephen - In: Applied Financial Economics 12 (2002) 4, pp. 301-307
Engle's autoregressive conditional heteroscedasticity (ARCH) model has been used successfully to model volatility in modern financial data. Here the returns on 3% Consols traded on the London market from 1821 to 1860 are examined for timevarying conditional heteroscedasticity. The series...
