Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
| Type of Publication: | Working Paper/Technical Report |
| URI (citable link): | http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4156 |
| Author: | Beran, Jan; Ocker, Dirk |
| Year of publication: | 1999 |
| Series: | CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 1999/14 |
| Summary: |
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.
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| Subject (DDC): | 510 Mathematics |
| Keywords: | SEMIFAR model, ARCH models, trend, long-range dependence, short-range dependence |
| Link to License: | In Copyright |
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BERAN, Jan, Dirk OCKER, 1999. Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models
@techreport{Beran1999Volat-673, series={CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie}, title={Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models}, year={1999}, number={1999/14}, author={Beran, Jan and Ocker, Dirk} }
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