Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models

Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.

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Year of publication:	2009
Authors:	Triacca, Umberto
Published in:	Central European Journal of Economic Modelling and Econometrics. - CEJEME. - Vol. 1.2009, 3, p. 285-291
Publisher:	CEJEME
Subject:	GARCH Models \| returns \| time series \| volatility persistence

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Extent:	application/pdf
Type of publication:	Article
Language:	English
Classification:	C13 - Estimation ; C22 - Time-Series Models ; G11 - Portfolio Choice ; G12 - Asset Pricing
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008468132