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Stock Market Volatility and Deviations from Macroeconomic Fundamentals: Evidence from GARCH and GARCH-X Models
Credit and Capital Markets – Kredit und Kapital, Vol. 31 (1998), Iss. 3 : pp. 400–412
2 Citations (CrossRef)
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Nicholas Apergis, Thessaloniki
Cited By
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Abstract
This paper investigates volatility in the US stock market and the effects of short-run deviations between stock prices and certain macroeconomic fundamentals over the period 1978: 1 1996: 12. The methodology followed is that of the GARCH and GARCH-X models. The results show that the GARCH-X model outperforms the standard GARCH model, while they indicate a significant effect of the short-run deviations on volatility. (JEL G10)