No News is Good News: An Asymmetric Model of Changing Volatility in Stock Returns
收藏NBER1991-06-01 更新2025-01-04 收录
下载链接：
https://www.nber.org/papers/w3742
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资源简介：
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 for this volatility feedback effect. The resulting model
提供机构：
美国国家经济研究局
创建时间：
1991-06-01
