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

Publikationstyp: Working Paper/Technical Report
URI (zitierfähiger Link): http://nbn-resolving.de/urn:nbn:de:bsz:352-opus-4156
Autor/innen: Beran, Jan; Ocker, Dirk
Erscheinungsjahr: 1999
Schriftenreihe: CoFE-Diskussionspapiere / Zentrum für Finanzen und Ökonometrie ; 1999/14
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.
Fachgebiet (DDC): 510 Mathematik
Schlagwörter: SEMIFAR model, ARCH models, trend, long-range dependence, short-range dependence
Link zur Lizenz: Nutzungsbedingungen

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BERAN, Jan, Dirk OCKER, 1999. Volatility of Stock Market Indices - An Analysis based on SEMIFAR Models

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