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Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models

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  • Umberto Triacca

    ()
    (University of L'Aquila, Rome)

Abstract

Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.

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Bibliographic Info

Article provided by CEJEME in its journal Central European Journal of Economic Modelling and Econometrics.

Volume (Year): 1 (2009)
Issue (Month): 3 (November)
Pages: 285-291

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Handle: RePEc:psc:journl:v:1:y:2009:i:3:p:285-291

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Web page: http://cejeme.org/

Related research

Keywords: GARCH Models; returns; time series; volatility persistence;

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  1. Hwang. S. & Pedro L. Valls Pereira, 2003. "Small Sample Properties of GARCH Estimates and Persistence," Finance Lab Working Papers flwp_48, Finance Lab, Insper Instituto de Ensino e Pesquisa.
  2. Edoardo Otrano & Umberto Triacca, 2007. "Testing for Equal Predictability of Stationary ARMA Processes," Journal of Applied Statistics, Taylor & Francis Journals, vol. 34(9), pages 1091-1108.
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