Measuring persistence in stock market volatility using the FIGARCH approach
This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. To this end, a dataset encompassing the daily returns of the S&P/TSX 60, CAC 40,...
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| Format: | article |
| Language: | eng |
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2016
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| Online Access: | https://ciencia.iscte-iul.pt/public/pub/id/29343 |
| Country: | Portugal |
| Oai: | oai:repositorio.iscte-iul.pt:10071/11736 |