Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models
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.
Volume (Year): 1 (2009)
Issue (Month): 3 (November)
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References listed on IDEAS
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- 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.
- 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.
- 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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