Volatility of stock market indices : an analysis based on SEMIFAR models

Jan Beran and Dirk Ocker (Department of Mathematics and Computer Science and Department of Economics and Statistics, Konstanz, Germany, University of Konstanz)

By applying SEMIFAR models (Beran, 1999), we examine 'long memory' in the volatility of worldwide stock market indices. Our analysis yields strong evidence of 'long memory' in stock market volatility, either in terms of stochastic long-range dependence or in form of deterministic trends. In some cases, both components are detected in the data. Thus, at least partially, there appears to be even stronger and more systematic 'long memory', than suggested by a stationary model with long-range dependence.

MoreLess

Year of publication:	January 25, 1999
Authors:	Beran, Jan ; Ocker, Dirk
Publisher:	[Konstanz] : [Zentrum für Finanzen und Ökonometrie, Universität Konstanz]
Subject:	SEMIFAR model \| ARCH models \| trend \| long-range dependence \| short-range dependence \| volatility \| semiparametric model \| kernel estimation \| bandwidth selection \| maximum likelihood estimation \| power transformation \| Aktienindex \| Stock index \| Volatilität \| Volatility \| Schätzung \| Estimation \| Welt \| World

freely available

Full text |

More access options

nbn-resolving.org

Check Google Scholar

In German libraries (KVK)

I need help

Erscheint auch als (Druck-Ausgabe):

Beran, Jan *1959-*. Volatility of stock market indices. - Konstanz : Univ., Center of Finance and Econometrics, 1999. - 17 S

Persistent link: https://www.econbiz.de/10011543477