INTEGRATED-GARCH AND NONSTATIONARY VARIANCES - EVIDENCE FROM EUROPEANSTOCK MARKETS DURING THE 1920S AND 1930S

Authors
CHOUDHRY T
Citation
T. Choudhry, INTEGRATED-GARCH AND NONSTATIONARY VARIANCES - EVIDENCE FROM EUROPEANSTOCK MARKETS DURING THE 1920S AND 1930S, Economics letters, 48(1), 1995, pp. 55-59
Citations number
10
Categorie Soggetti
Economics
Journal title
Economics letters → ACNP
ISSN journal
01651765
Volume
48
Issue
1
Year of publication
1995
Pages
55 - 59
Database
ISI
SICI code
0165-1765(1995)48:1<55:IANV-E>2.0.ZU;2-T
Abstract
This paper provides a study of the persistence of stock return volatil ity in five European markets during the 1920s and 1930s. The empirical investigation is conducted using the Integrated-GARCH model. Results show that for the bulk of the series shocks to volatility are permanen t, implying a significant impact of volatility on stock prices.