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Please use this identifier to cite or link to this item: http://hdl.handle.net/1959.13/27093

Title: Old volatility: ARCH effects in 19th century consol data
Author/Creator: Mitchell, Heather; Brown, Rob; Easton, Stephen
Description: Engle's autoregressive conditional heteroscedasticity (ARCH) model has been used successfully to model volatility in modern financial data. Here the returns on 3% Consols traded on the London market from 1821 to 1860 are examined for timevarying conditional heteroscedasticity. The series contains over 10,000 daily price changes. The analysis produces strong evidence for persistent ARCH effects in the data. Structural changes in the model and periods of increased volatility can be linked to important political and historical events.
Relation: Journal of Applied Financial Economics Vol. 12, Issue 4, p. 301-307
Publisher Link: http://dx.doi.org/10.1080/09603100010005843
Date: 2002
Publisher: Routledge
Keyword(s): autoregressive conditional heteroscedasticity; ARCH; financial data; Consols; 19th century
Resource Type: journal article
Identifier: http://hdl.handle.net/1959.13/27093
Identifier: ISSN:0960-3107

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