Publikation:

Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models

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415_1.pdf
415_1.pdfGröße: 191.81 KBDownloads: 154

Datum

1999

Autor:innen

Ocker, Dirk

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http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4156
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Working Paper/Technical Report
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Zusammenfassung

By applying SEMIFAR models (Beran 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analyis yields strong evidence of 'long-memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some cases, both components are detected in the data. Thus, at least partially, there appears to be even stronger an more systematic 'long-memory', than suggested by a stationary model with long-range dependence.

Zusammenfassung in einer weiteren Sprache

Fachgebiet (DDC)
510 Mathematik

Schlagwörter

SEMIFAR model, ARCH models, trend, long-range dependence, short-range dependence

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ISO 690BERAN, Jan, Dirk OCKER, 1999. Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
BibTex
@techreport{Beran1999Volat-673,
  year={1999},
  series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie},
  title={Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models},
  number={1999/14},
  author={Beran, Jan and Ocker, Dirk}
}
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