IDEAS home Printed from https://ideas.repec.org/a/psc/journl/v1y2009i3p285-291.html
   My bibliography  Save this article

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

Author

Listed:
  • 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.

Suggested Citation

  • Umberto Triacca, 2009. "Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models," Central European Journal of Economic Modelling and Econometrics, CEJEME, vol. 1(3), pages 285-291, November.
  • Handle: RePEc:psc:journl:v:1:y:2009:i:3:p:285-291
    as

    Download full text from publisher

    File URL: http://cejeme.org/publishedarticles/2010-46-07-634035663978281250-2469.pdf
    Download Restriction: no

    References listed on IDEAS

    as
    1. Soosung Hwang & Pedro L. Valls Pereira, 2006. "Small sample properties of GARCH estimates and persistence," The European Journal of Finance, Taylor & Francis Journals, vol. 12(6-7), pages 473-494.
    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.
    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


    Cited by:

    1. repec:bap:journl:170307 is not listed on IDEAS

    More about this item

    Keywords

    GARCH Models; returns; time series; volatility persistence;

    JEL classification:

    • C13 - Mathematical and Quantitative Methods - - Econometric and Statistical Methods and Methodology: General - - - Estimation: General
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:psc:journl:v:1:y:2009:i:3:p:285-291. 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: (Krzysztof Osiewalski). General contact details of provider: http://cejeme.org/ .

    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 CitEc recognized a reference but did not link an item in RePEc 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 RePEc Author Service 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.

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.