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Measuring persistence in stock market volatility using the FIGARCH approach

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  • Bentes, Sónia R.

Abstract

This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes.

Suggested Citation

  • Bentes, Sónia R., 2014. "Measuring persistence in stock market volatility using the FIGARCH approach," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 408(C), pages 190-197.
    • Handle: RePEc:eee:phsmap:v:408:y:2014:i:c:p:190-197
    DOI: 10.1016/j.physa.2014.04.032
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