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 …

Most affine models of the term structure with stochastic volatility (SV) predict that the variance of the short rate is …(3) SV model generates a time series for the variance state variable that is strongly negatively correlated with a GARCH … stochastic volatility (USV)." Of the models tested, only the A1(4) USV model is found to generate both realistic volatility …

, 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 …

volatility …

This paper explores the effect of equity volatility on corporate bond yields. Panel data for the late 1990's show that … idiosyncratic firm-level volatility can explain as much cross-sectional variation in yields as can credit ratings. This finding …, together with the upward trend in idiosyncratic equity volatility documented by Campbell, Lettau, Malkiel, and Xu (2001), helps …

-style models and models in which the state variables are the stochastic long-run mean and volatility of r. Third, we compute …

We develop new procedures for maximum likelihood estimation of affine term structure models with spanned or unspanned … stochastic volatility. Our approach uses linear regression to reduce the dimension of the numerical optimization problem yet it … produces the same estimator as maximizing the likelihood. It improves the numerical behavior of estimation by eliminating …