In this paper, we examine the stochastic volatility behaviour in the Spanish stock market returns over the time period 2 January 2001 - 12 May 2006. We use a long memory model that takes into account the existence of an endogenous structural break. When no breaks are taken into account the results show that the orders of integration of the absolute and squared return values (which are used as proxies of volatility) are higher than 0 but smaller than 0.5, implying that the stochastic volatility is stationary but long memory. If a break is considered, long memory is also found in the two sub-samples, with higher orders of integration before the break, which takes place at around 2003 for the IBEX, and at 2004 for the less liquid assets IGBM.
Download Info
To download:
If you experience problems downloading a file, check if you have the
proper application to
view it first. Information about this may be contained
in the File-Format links below. In case of further problems read
the IDEAS help
page. Note that these files are not on the IDEAS
site. Please be patient as the files may be large.
As the access to this document is restricted, you may want to look for a different version under "Related research" (further below) or search for a different version of it.