Measuring persistence in stock market volatility using the FIGARCH approach

This paper examines the long memory property in the conditional variance of the G7’s major stock market indices, using the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes.

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Year of publication:	2014
Authors:	Bentes, Sónia R.
Published in:	Physica A: Statistical Mechanics and its Applications. - Elsevier, ISSN 0378-4371. - Vol. 408.2014, C, p. 190-197
Publisher:	Elsevier
Subject:	Long memory \| Volatility \| Persistence \| GARCH \| IGARCH \| FIGARCH

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10011058943