Stock Market Volatility Models Fail to Capture Nonlinear Behavior
The article compares different models for predicting how much a stock's price will change each month. It looks at U.S. stock data from 1834 to 1925 because others have already studied more recent data. The researchers found that traditional models don't fully capture the ups and downs in stock prices. They also discovered that stock price changes aren't consistent over time, even in the earlier period they studied.