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 …

volatility …

Simple regression tests that have power against the alternatives that. asset prices and expected future asset returns … are excessively volatile and that expected returns on foreign exchange and stocks move too much. We also investigate …

This paper is an investigation into the determinants of asymmetries in stock returns. We develop a series of cross …-sectional regression specifications which attempt to forecast skewness in the daily returns of individual stocks. Negative skewness is most …) positive returns over the prior thirty-six months. The first finding is consistent with the model of Hong and Stein (1999 …

It is sometimes argued that an increase in stock market volatility raises required stock returns, and thus lowers stock … early 1930's. However volatility feedback has little effect on the unconditional variance of stock returns … prices. This paper modifies the generalized autoregressive conditionally heteroskedastic (GARCH) model of returns to allow …

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 … markets. We also examine the impact of capital market" liberalizations on the correlation of emerging equity market returns …

-shifts of heterogeneous durations affect the volatility of dividend news. We estimate tightly parameterized specifications with … up to 256 discrete states on daily U.S. equity returns. The multifrequency equilibrium has significantly higher … likelihood than the classic Campbell and Hentschel (1992) specification, while generating volatility feedback effects 6 to 12 …

This paper examines the potential influence of changing volatility in stock market prices on the level of stock market … prices. It demonstrates that volatility is only weakly serially correlated, implying that shocks to volatility do not persist …. These shocks can therefore have only a small impact on stockmarket prices, since changes in volatility affect expected …

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