Advanced Search
MyIDEAS: Login

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

Contents:

Author Info

Registered author(s):

    Abstract

    By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis 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 and more systematic 'long memory', than suggested by a stationary model with long-range dependence.

    Download Info

    If you experience problems downloading a file, check if you have the proper application to view it first. 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.
    File URL: http://cofe.uni-konstanz.de/Papers/dp99_14.pdf
    File Function: Main-Text
    Download Restriction: no

    Bibliographic Info

    Paper provided by Center of Finance and Econometrics, University of Konstanz in its series CoFE Discussion Paper with number 99-14.

    as in new window
    Length: 17 pages
    Date of creation: 1999
    Date of revision:
    Handle: RePEc:knz:cofedp:9914

    Contact details of provider:
    Postal: Fach D 147, D-78457 Konstanz
    Phone: +49-7531-88-2204
    Fax: +49-7531-88-4450
    Web page: http://cofe.uni-konstanz.de
    More information through EDIRC

    Order Information:
    Email:
    Web: http://cofe.uni-konstanz.de

    Related research

    Keywords:

    This paper has been announced in the following NEP Reports:

    References

    References listed on IDEAS
    Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
    as in new window
    1. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    2. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    3. Crato, Nuno & de Lima, Pedro J. F., 1994. "Long-range dependence in the conditional variance of stock returns," Economics Letters, Elsevier, vol. 45(3), pages 281-285.
    4. Jan Beran & Yuanhua Feng & Günter Franke & Dieter Hess & Dirk Ocker, 1999. "SEMIFAR Models, with Applications to Commodities, Exchange Rates and the Volatility of Stock Market Indices," CoFE Discussion Paper 99-18, Center of Finance and Econometrics, University of Konstanz.
    5. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    6. Beran, Jan & Feng, Yuanhua & Ocker, Dirk, 1999. "SEMIFAR models," Technical Reports 1999,03, Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen.
    7. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as in new window

    Cited by:
    1. Jan Beran & Yuanhua.Feng, 2001. "Iterative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties," CoFE Discussion Paper 01-11, Center of Finance and Econometrics, University of Konstanz.
    2. Mohamed Chikhi & Anne Péguin-Feissolle & Michel Terraza, 2012. "SEMIFARMA-HYGARCH Modeling of Dow Jones Return Persistence," AMSE Working Papers 1214, Aix-Marseille School of Economics, Marseille, France.
    3. Jan Beran & Yuanhua.Feng, 2001. "Supplement to the Paper "Interative plug-in algorithms for SEMIFAR models - definition, convergence and asymptotic properties": Detailed Simulation Results," CoFE Discussion Paper 01-12, Center of Finance and Econometrics, University of Konstanz.
    4. Jan Beran & Yuanhua Feng, 1999. "Local Polynomial Estimation with a FARIMA-GARCH Error Process," CoFE Discussion Paper 99-08, Center of Finance and Econometrics, University of Konstanz.

    Lists

    This item is not listed on Wikipedia, on a reading list or among the top items on IDEAS.

    Statistics

    Access and download statistics

    Corrections

    When requesting a correction, please mention this item's handle: RePEc:knz:cofedp:9914. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Ingmar Nolte) The email address of this maintainer does not seem to be valid anymore. Please ask Ingmar Nolte to update the entry or send us the correct address.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If references are entirely missing, you can add them using this form.

    If the full references list an item that is present in RePEc, but the system did not link to it, you can help with this form.

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your profile, as there may be some citations waiting for confirmation.

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.