day. However, the volatility persistence of ARCH-type models is reflected with relatively high VaR estimates for longer …

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 …

This paper investigates volatility persistence in Southern and East African stock markets taking into account the rate … are used to estimate volatility persistence and risk premium for these markets. The results presented here suggest that … there is volatility persistence in emerging Southern and East African stock markets. Further empirical estimates show that …

Most financial asset returns exhibit volatility persistence. We investigate this phenomenon in the context of daily … time of futures contracts is the fundamental variable in explaining volatility persistence in the lumber futures market. We …

volatility over time. This study assesses the impact of structural changes and outliers on volatility persistence of three crude …