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

1999
Ocker, Dirk
##### Series
CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie; 1999/14
##### Publication type
Working Paper/Technical Report
##### Abstract
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.
510 Mathematics
##### Keywords
SEMIFAR model,ARCH models,trend,long-range dependence,short-range dependence
##### Cite This
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}
}

RDF
<rdf:RDF
xmlns:dcterms="http://purl.org/dc/terms/"
xmlns:dc="http://purl.org/dc/elements/1.1/"
xmlns:rdf="http://www.w3.org/1999/02/22-rdf-syntax-ns#"
xmlns:bibo="http://purl.org/ontology/bibo/"
xmlns:dspace="http://digital-repositories.org/ontologies/dspace/0.1.0#"
xmlns:foaf="http://xmlns.com/foaf/0.1/"
xmlns:void="http://rdfs.org/ns/void#"
xmlns:xsd="http://www.w3.org/2001/XMLSchema#" >
<dc:creator>Beran, Jan</dc:creator>
<dc:format>application/pdf</dc:format>
<dcterms:hasPart rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/673/1/415_1.pdf"/>
<dc:language>eng</dc:language>
<dcterms:available rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:27Z</dcterms:available>
<dc:contributor>Beran, Jan</dc:contributor>
<dc:date rdf:datatype="http://www.w3.org/2001/XMLSchema#dateTime">2011-03-22T17:45:27Z</dc:date>
<dspace:hasBitstream rdf:resource="https://kops.uni-konstanz.de/bitstream/123456789/673/1/415_1.pdf"/>
<dcterms:rights rdf:resource="https://rightsstatements.org/page/InC/1.0/"/>
<dc:creator>Ocker, Dirk</dc:creator>
<dcterms:title>Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models</dcterms:title>
<dcterms:abstract xml:lang="eng">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.</dcterms:abstract>
<dspace:isPartOfCollection rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<bibo:uri rdf:resource="http://kops.uni-konstanz.de/handle/123456789/673"/>
<dc:contributor>Ocker, Dirk</dc:contributor>
<dcterms:isPartOf rdf:resource="https://kops.uni-konstanz.de/server/rdf/resource/123456789/39"/>
<void:sparqlEndpoint rdf:resource="http://localhost/fuseki/dspace/sparql"/>
<dc:rights>terms-of-use</dc:rights>
<dcterms:issued>1999</dcterms:issued>
<foaf:homepage rdf:resource="http://localhost:8080/"/>
</rdf:Description>
</rdf:RDF>

No