Investigating the intertemporal risk-return relation in international stock markets with the component garch model
By: by Hui Guo and Christopher J. Neely
Contributors: Neely, Christopher J.; Federal Reserve Bank of St. Louis
Series: Working paper -- 2006-006A; Working paper (Federal Reserve Bank of St. Louis : Online) -- 2006-006A.
Publisher: Federal Reserve Bank of St. Louis
Published: 2006
Place of publication: St. Louis, Mo.]
Language: eng
Format: [electronic resource] /
Description: "We revisit the risk-return relation using the component GARCH model and international daily MSCI stock market data.  In contrast with the previous evidence obtained from weekly and monthly data, daily data show that the relation is positive in almost all markets and often statistically significant.  Likelihood ratio tests reject the standard GARCH model in favor of the component GARCH model, which strengthens the evidence for a positive risk-return tradeoff.  Consistent with U.S.  evidence, the long-run component of volatility is a more important determinant of the conditional equity premium than the short-run component for most international markets"--Federal Reserve Bank of St. Louis web site.
Notes: Title from PDF file as viewed on 6/29/2006.

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