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 … nonlinearities in stock return behavior that are not captured by conventional ARCH or GARCH models. We also show the nonstationariry …

the United States to show how stock volatility has changed over time. It also uses various measures of volatility implied … 2008. This episode was associated with historically high levels of stock market volatility, particularly among financial … sector stocks, but the market did not expect volatility to remain high for long and it did not. This is in sharp contrast to …

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 …

other markets. Hourly stock price data from New York, Tokyo and London during an eight month period around the crash offer … volatility …

In the months prior to the stock market crash of 1929, the price of a seat on the New York Stock Exchange was … negative cumulative abnormal returns to seats of approximately 20 percent in the months just before the crash. At the same time … October 1929 crash, although investors in the market apparently did not recognize this information …

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." …

, accounting for almost half the skewness and excess kurtosis of standard monthly GARCH residuals. Estimated volatility discounts …It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow …

hand, the overall volatility of individual returns and market returns is higher …