Is stock market volatility persistent? A fractionally integrated approach

• Author(s): Bentes, Sónia Ricardo ; Cruz, Manuel Mendes da
• Date: 2011
• Persistent ID: http://hdl.handle.net/10400.21/1403
• Origin: Repositório Científico do Instituto Politécnico de Lisboa
• Subject(s): Long memory; Volatility; Persistence; IGARCH model; FIGARCH model
• Document Type: Conference Object
• Language: English

Description

This paper seeks to study the persistence in the G7’s stock market volatility, which is carried out using the GARCH, IGARCH and FIGARCH models. The data set consists of the daily returns of the S&P/TSX 60, CAC 40, DAX 30, MIB 30, NIKKEI 225, FTSE 100 and S&P 500 indexes over the period 1999-2009. The results evidences long memory in volatility, which is more pronounced in Germany, Italy and France. On the other hand, Japan appears as the country where this phenomenon is less obvious; nevertheless, the persistence prevails but with minor intensity.