Evidence of the Nostationarity of the Variance Rate of Return of New York Stock Exchange Listed Common Stock |
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| Authors: | Richard E Callaway |
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| Institution: | University of Tennessee at Chattanooga, Chattanooga, TN 37403. The author thanks the reviewers for their very helpful comments. All errors remain the fault of the author. |
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| Abstract: | The variance rate of return is shown to be nonstationary for the majority of stocks studied, with a median change of 100 percent over a period of one and one-half years. The degree of change declines as the interval between estimates is shortened as does the extent to which the variance rates of different of the change do not appear to be strongly related to the trading frequency of the stock. |
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