Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models

Beran, Jan; Ocker, Dirk

Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models

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Datum

2001

Autor:innen

Beran, Jan

Ocker, Dirk

Publikationstyp

Zeitschriftenartikel

unikn.publication.listelement.citation.prefix.version.undefined

Journal of Business & Economic Statistics. 2001, 19(1), pp. 103-116. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1198/07350010152472661

Zusammenfassung

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis 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 and more systematic 'long memory', than suggested by a stationary model with long-range dependence.

Fachgebiet (DDC)

310 Statistik

Zitieren

ISO 690

BERAN, Jan, Dirk OCKER, 2001. Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models. In: Journal of Business & Economic Statistics. 2001, 19(1), pp. 103-116. ISSN 0735-0015. eISSN 1537-2707. Available under: doi: 10.1198/07350010152472661

BibTex

@article{Beran2001Volat-27493,
  year={2001},
  doi={10.1198/07350010152472661},
  title={Volatility of Stock-Market Indexes : An Analysis Based on SEMIFAR Models},
  number={1},
  volume={19},
  issn={0735-0015},
  journal={Journal of Business & Economic Statistics},
  pages={103--116},
  author={Beran, Jan and Ocker, Dirk}
}

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