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

Beran, Jan; Ocker, Dirk

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

Files

415_1.pdf(191.81 KB)

Date

1999

Authors

Beran, Jan

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.

Subject (DDC)

510 Mathematics

Keywords

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

Cite This

ISO 690

BERAN, 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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