IDEAS home Printed from https://ideas.repec.org/a/wsi/ijtafx/v05y2002i08ns0219024902001663.html
   My bibliography  Save this article

Fractional Integration In The Stock Market Volatility Series

Author

Listed:
  • LUIS A. GIL-ALANA

    () (Universidad de Navarrra, Facultad de Ciencias Economicas, Edificio Biblioteca, Entrada Este, E-31080 Pamplona, Spain)

Abstract

In this article we model the stock market volatility in the US, the UK, France, Germany and Japan by means of using fractionally integrated techniques. The results, based on the tests of Robinson [24] show that the volatility series can be well described in terms ofI(d)statistical processes, withdhigher than 0.5 but smaller than 1, implying thus nonstationary but mean-reverting behaviour.

Suggested Citation

  • Luis A. Gil-Alana, 2002. "Fractional Integration In The Stock Market Volatility Series," International Journal of Theoretical and Applied Finance (IJTAF), World Scientific Publishing Co. Pte. Ltd., vol. 5(08), pages 775-783.
  • Handle: RePEc:wsi:ijtafx:v:05:y:2002:i:08:n:s0219024902001663
    DOI: 10.1142/S0219024902001663
    as

    Download full text from publisher

    File URL: http://www.worldscientific.com/doi/abs/10.1142/S0219024902001663
    Download Restriction: Access to full text is restricted to subscribers.

    As the access to this document is restricted, you may want to search for a different version of it.

    More about this item

    Keywords

    Volatility; fractional integration; long memory;

    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:wsi:ijtafx:v:05:y:2002:i:08:n:s0219024902001663. 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: (Tai Tone Lim). General contact details of provider: http://www.worldscinet.com/ijtaf/ijtaf.shtml .

    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.

    We have no references for this item. You can help adding them by using 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.