نتایج جستجو برای: volatility persistence
تعداد نتایج: 68727 فیلتر نتایج به سال:
The current paper proposes a conditional volatility model with time varying coefficients based on a multinomial switching mechanism. By giving more weight to either the persistence or shock term in a GARCH model, conditional on their relative ability to forecast a benchmark volatility measure, the switching reinforces the persistent nature of the GARCH model. Estimation of this volatility targe...
Measures of financial volatility exhibit clustering and persistence and can be jointly modeled as the element by element product of a vector of conditionally autoregressive scale factors and a multivariate i.i.d. innovation process (vector Multiplicative Error Model – vMEM). Since similar profiles are shared across measures, a restricted vMEM decomposes the conditional expected volatility into ...
This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, proposed by Robinson (1995a), and shown by Arteche (2004) to be consistent and asymptotically normal in the context ...
The aim of this paper is to surround the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and longterm memory presence. More specifically, our object is to test whether long-term dependent processes are appropriated for modelling Tunisian stock market volatility. The empirical investigation has been driven on the two Tunisian st...
Abstract Increasing evidence points towards the episodic emergence of pockets with extreme return persistence. This notion refers to intraday periods non-trivial duration, for which stock returns are highly positively autocorrelated. Such episodes include, but not limited to, gradual jumps and prolonged bursts in drift component. In this paper, we develop a family integrated volatility estimato...
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