/S analysis with the Hurst exponent method and fractional integration) are used to analyse persistence of the VIX index over the …This paper investigates the degree of persistence of market fear. Specifically, two different long-memory approaches (R … properties change over time: in normal periods it exhibits anti-persistence (there is a negative correlation between its past and …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

. The results indicate that persistence is higher at lower frequencies, for both returns and their volatility. This is true …This paper investigates persistence in financial time series at three different frequencies (daily, weekly and monthly …

The sum of squared intraday returns provides an unbiased and almost error-free measure of ex-post volatility. In this … paper we develop a nonlinear Autoregressive Fractionally Integrated Moving Average (ARFIMA) model for realized volatility …, which accommodates level shifts, day-of-the-week effects, leverage effects and volatility level effects. Applying the model …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …