Volatility puzzle: Long memory or anti-persistency

• Main Authors: SHI, Shuping, Jun YU
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2023
• Subjects: long memory; fractional integration; roughness; short-run dynamics; realized volatility; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_research/2638; https://ink.library.smu.edu.sg/context/soe_research/article/3637/viewcontent/VolatilityPuzzle_sv.pdf
• Institution: Singapore Management University

The log realized volatility (RV) is often modeled as an autoregressive fractionally integrated moving average model ARFIMA(1,d,01,d,0). Two conflicting empirical results have been found in the literature. One stream shows that log RV has a long memory (i.e., the fractional parameter d > 0). The o...