Volatility puzzle: Long memory or anti-persistency
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...
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| Main Authors: | , |
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| Format: | text |
| Language: | English |
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Institutional Knowledge at Singapore Management University
2023
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| 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 |
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| Institution: | Singapore Management University |
| Language: | English |