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Uncovering long memory in high frequency UK futures

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  • John Cotter

Abstract

Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility series for three different asset types, using stock index, interest rate and bond futures are analysed. Long memory is strongest for the bond contract. Long memory is always strongest for the absolute returns series and at a power transformation of k

Suggested Citation

  • John Cotter, 2004. "Uncovering long memory in high frequency UK futures," Centre for Financial Markets Working Papers 10197/1142, Research Repository, University College Dublin.
    • Handle: RePEc:rru:cfmwps:10197/1142
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    File URL: http://hdl.handle.net/10197/1142
    File Function: First version, 2004
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