Stock Return Volatility and World War II: Evidence From Garch and Garch‐X Models
研究了1926-1944年间加拿大、丹麦等六国股市的波动性，发现短期偏离对波动有显著影响，且GARCH-X模型优于标准GARCH模型。
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). © 1997 by John Wiley & Sons, Ltd.