Spurious long memory, uncommon breaks and the implied–realized volatility puzzle
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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Recent studies have suggested that stock markets' volatility has a type of long-range dependence that is not appropriately described by the usual Generalized Autoregressive Conditional Heteroskedastic (GARCH) and Exponential GARCH (EGARCH) models. In this paper, diierent models for describing this long-range dependence are examined and the properties of a Long-Memory Stochastic Volatility (LMSV...
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ژورنال
عنوان ژورنال: Journal of International Money and Finance
سال: 2015
ISSN: 0261-5606
DOI: 10.1016/j.jimonfin.2015.04.003