IDEAS home Printed from https://ideas.repec.org/a/ijf/ijfiec/v2y1997i1p17-28.html
   My bibliography  Save this article

Stock Return Volatility and World War II: Evidence from GARCH and GARCH-X Models

Author

Listed:
  • Choudhry, Taufiq

Abstract

This paper investigates volatility in the stock markets of Canada, Denmark, Sweden, Switzerland, the United Kingdom and the United States, and the effects of short-run deviations between stock indices of these markets on the volatility during January 1926-December 1944. The empirical work is conducted by means of the GARCH(1,1) and GARCH(1,1)-X models. Both tests provide evidence of volatility clustering but low level of persistence to shocks to volatility. Results from GARCH-X also indicate a significant effect of the short-run deviations on volatility. The GARCH (1,1)-X model seems to perform better than the standard GARCH(1,1). Copyright @ 1997 by John Wiley & Sons, Ltd. All rights reserved.

Suggested Citation

  • Choudhry, Taufiq, 1997. "Stock Return Volatility and World War II: Evidence from GARCH and GARCH-X Models," International Journal of Finance & Economics, John Wiley & Sons, Ltd., vol. 2(1), pages 17-28, January.
    • Handle: RePEc:ijf:ijfiec:v:2:y:1997:i:1:p:17-28
    as

    Download full text from publisher

    File URL: http://www3.interscience.wiley.com/cgi-bin/jtoc?ID=15416
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. Hung, Jui-Cheng & Liu, Hung-Chun & Yang, J. Jimmy, 2020. "Improving the realized GARCH’s volatility forecast for Bitcoin with jump-robust estimators," The North American Journal of Economics and Finance, Elsevier, vol. 52(C).
    2. Pandey, Dharen Kumar & Lucey, Brian M. & Kumar, Satish, 2023. "Border disputes, conflicts, war, and financial markets research: A systematic review," Research in International Business and Finance, Elsevier, vol. 65(C).
    3. Piotr Fiszeder & Marta Ma³ecka, 2022. "Forecasting volatility during the outbreak of Russian invasion of Ukraine: application to commodities, stock indices, currencies, and cryptocurrencies," Equilibrium. Quarterly Journal of Economics and Economic Policy, Institute of Economic Research, vol. 17(4), pages 939-967, December.
    4. Su, Jung-Bin, 2014. "Empirical analysis of long memory, leverage, and distribution effects for stock market risk estimates," The North American Journal of Economics and Finance, Elsevier, vol. 30(C), pages 1-39.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ijf:ijfiec:v:2:y:1997:i:1:p:17-28. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Wiley-Blackwell Digital Licensing or Christopher F. Baum (email available below). General contact details of provider: http://www.interscience.wiley.com/jpages/1076-9307/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.