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Identifying regime changes in market volatility

Authors :
Guo, Weiyu
Wohar, Mark E.
Source :
Journal of Financial Research. Spring, 2006, Vol. 29 Issue 1, p79, 15 p.
Publication Year :
2006

Abstract

A casual inspection of a graph of volatility indexes indicates that volatility has undergone infrequent, but significant, shifts in its average level. Evidence collected from three distinct periods including pre-1992, 1992-1997, and post-1997 is presented which shows that the mean volatility, as well as its standard deviation, was lowest during 1992-1997.

Details

Language :
English
ISSN :
02702592
Volume :
29
Issue :
1
Database :
Gale General OneFile
Journal :
Journal of Financial Research
Publication Type :
Academic Journal
Accession number :
edsgcl.145495608