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Term Premium and Long-range Dependence in Volatility: A FIGARCH-M Estimation on Some Asian Countries

Author

Listed:
  • Sandrine Lardic

    (University of Paris, X-Nanrerre, modem-CNRS France)

  • Valérie Mignon

    (University of Paris, X-nanrerre, THEMA-CNRS, UFR SEGMI, 200 avenue de la République, 92001 Nanterre Cedex, France)

Abstract

Recent events in financial markets put forward the relevance of a study relating to the Asian interest rate term premia volatility series. More specifically, our object is to test whether long-term dependent processes, such as FIGARCH ones, are appropriated for modelling volatility series. Results suggest that the considered Asian series of volatility are characterised by a strong dependent structure, which indicates that shocks to volatility have persistent consequences. Moreover, through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.

Suggested Citation

  • Sandrine Lardic & Valérie Mignon, 2004. "Term Premium and Long-range Dependence in Volatility: A FIGARCH-M Estimation on Some Asian Countries," Journal of Emerging Market Finance, Institute for Financial Management and Research, vol. 3(1), pages 1-19, January.
    • Handle: RePEc:sae:emffin:v:3:y:2004:i:1:p:1-19
    DOI: 10.1177/097265270400300101
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