Several authors have raised the issue of non‐stationarity of security returns in empirical tests of the Arbitrage Pricing Theory (APT). This paper tests for one form of non‐stationarity, namely, conditional heteroskedasticity, in the empirical APT with observed factors. Using monthly stock...

This study presents various GARCH models for predicting movements (returns) and volatility patterns in major national stock market indices. These models depict that future returns in the national stock markets of Australia, Belgium, Canada, France, Italy and Switzerland are predictable from past...