Is stock market volatility persistent? A fractionally integrated approach

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-...

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Detalhes bibliográficos
Autor principal: Bentes, Sonia (author)
Outros Autores: Cruz, Manuel Mendes da (author)
Formato: conferenceObject
Idioma:eng
Publicado em: 2012
Assuntos:
Long memory
Volatility
Persistence
IGARCH model
FIGARCH model
Texto completo:http://hdl.handle.net/10400.21/1403
País:Portugal
Oai:oai:repositorio.ipl.pt:10400.21/1403

Texto Completo

http://hdl.handle.net/10400.21/1403

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