کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
982310 1480468 2009 18 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices
موضوعات مرتبط
علوم انسانی و اجتماعی اقتصاد، اقتصادسنجی و امور مالی اقتصاد و اقتصادسنجی
پیش نمایش صفحه اول مقاله
Volatility persistence, long memory and time-varying unconditional mean: Evidence from 10 equity indices
چکیده انگلیسی

This paper re-examines evidence of volatility persistence and long memory in the light of potential time-variation in the unconditional mean of the volatility series. Daily equity volatility is generally regarded as exhibiting long memory, however, recent evidence has suggested that long memory may be a spurious finding arising from neglected breaks or time-variation in unconditional variance. The results presented here suggested that long memory is apparent when analysed on the assumption that unconditional variance is constant. However, both breakpoint tests and a moving average application suggest that unconditional variance exhibits substantial, although slow moving, time-variation. The apparent long-memory property largely disappears when this time-variation is taken into account. A modification of the GARCH model to allow for mean variation generates improved volatility forecasting performance, but only over long horizon. At the daily level the assumption of a constant unconditional variance does not seem to affect forecasts.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: The Quarterly Review of Economics and Finance - Volume 49, Issue 2, May 2009, Pages 578–595
نویسندگان
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