Utilize este identificador para referenciar este registo: http://hdl.handle.net/10400.21/1403
Título: Is stock market volatility persistent? A fractionally integrated approach
Autor: Bentes, Sónia Ricardo
Cruz, Manuel Mendes da
Palavras-chave: Long memory
Volatility
Persistence
IGARCH model
FIGARCH model
Data: Jul-2011
Resumo: 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 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.
Peer review: yes
URI: http://hdl.handle.net/10400.21/1403
Aparece nas colecções:ISCAL - Comunicações

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