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Conditional Heteroskedasticity in Asset Returns: A New Approach

Daniel B. Nelson · Econometrica · 1991

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Author / responsible party
Daniel B. Nelson
Publisher
Econometrica
Year
1991
Language
English

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This paper introduces an ARCH model (exponential ARCH) that (1) allows correlation between returns and volatility innovations (an important feature of stock market volatility changes), (2) eliminates the need for inequality constraints on parameters, and (3) allows for a straightforward interpretation of the "persistence" of shocks to volatility. In the above respects, it is an improvement over the widely-used GARCH model. The model is applied to study volatility changes and the risk premium on the CRSP Value-Weighted Market Index from 1962 to 1987. Copyright 1991 by The Econometric Society.

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APA 7

Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. https://doi.org/10.2307/2938260

MLA

Nelson, Daniel B. "Conditional Heteroskedasticity in Asset Returns: A New Approach." 1991. https://doi.org/10.2307/2938260.

Chicago

Nelson, Daniel B. 1991. "Conditional Heteroskedasticity in Asset Returns: A New Approach.". https://doi.org/10.2307/2938260.

Harvard

Nelson, D. B. 1991, Conditional Heteroskedasticity in Asset Returns: A New Approach, Econometrica, available at: https://doi.org/10.2307/2938260 [Accessed 6 Aug. 2026].

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Title
Conditional Heteroskedasticity in Asset Returns: A New Approach
Author / contributors
Daniel B. Nelson
Publisher
Econometrica
Publication year
1991
Language
English

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Heteroscedasticity; Economics; Econometrics; Financial economics; Asset (computer security); Computer science; Computer security
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