TESTING FOR LONG MEMORY IN VOLATILITY
نویسندگان
چکیده
منابع مشابه
Long Memory in Volatility
How persistent is volatility? In other words, how quickly do financial markets forget large volatility shocks? Figure 1.1, Shephard (attached) shows that daily squared returns on exchange rates and stock indices can have autocorrelations which are significant for many lags. In any stationary ARCH or GARCH model, memory decays exponentially fast. For example, if {εt } are ARCH (1), the {εt} have...
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ژورنال
عنوان ژورنال: Econometric Theory
سال: 2002
ISSN: 0266-4666,1469-4360
DOI: 10.1017/s0266466602186014