@ARTICLE{17129232_1993,
author = {Glosten, Lawrence R. and Jaganathan, Ravi and Runkle, David E.},
keywords = {garch models, interest rate, математический метод, математическое моделирование, математическое ожидание случайной величины, процентная ставка},
title = {On the Relation between the Expected Value and the Volatility of the
Nominal Excess Return on Stocks },
journal = {Journal of Finance},
year = {1993},
month = {},
volume = {48},
number = {5},
pages = {1779-1801},
url = {http://ecsocman.hse.ru/text/17129232/},
publisher = {},
language = {ru},
abstract = {Authors finds support for a negative relation between conditional
expected monthly return and conditional variance of monthly return,
using a GARCH-M model modified by allowing (1) seasonal patterns in
volatility, (2) positive and negative innovations to returns having
different impacts on conditional volatility, and (3) nominal interest
rates to predict conditional variance. Using the modified GARCH-M
model, we also show that monthly conditional volatility may not be as
persistent as was thought. Positive unanticipated returns appear to
result in a downward revision of the conditional volatility whereas
negative unanticipated returns result in an upward revision of
conditional volatility. },
annote = {Authors finds support for a negative relation between conditional
expected monthly return and conditional variance of monthly return,
using a GARCH-M model modified by allowing (1) seasonal patterns in
volatility, (2) positive and negative innovations to returns having
different impacts on conditional volatility, and (3) nominal interest
rates to predict conditional variance. Using the modified GARCH-M
model, we also show that monthly conditional volatility may not be as
persistent as was thought. Positive unanticipated returns appear to
result in a downward revision of the conditional volatility whereas
negative unanticipated returns result in an upward revision of
conditional volatility. }
}