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Fractional Integration In The Stock Market Volatility Series



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


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

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    Volatility; fractional integration; long memory;


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