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Over the past few decades, research in
nancial economics has taken a high e¤ort to increase theunderstanding of the volatility patterns of stock market returns. Indeed, good knowledge of returnvolatility is crucial for portfolio choice, risk management and derivatives asset pricing. Perhapsthe most robust empirical regularity of stock return volatility is volatility clustering. As
rst notedby Mandelbrot (1963) when referring to stock market returns, "large changes tend to be followedby large changes, of either sign, and small changes tend to be followed by small changes". Thispersistence in volatility lead to the development of GARCH models by Engle (1982) and Bollerslev(1986)...
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THE STOCK MARKET CRASH OF 1929:IRVING FISHER WAS RIGHT!
