Volatility puzzle: Long memory or anti-persistency

• المؤلفون الرئيسيون: SHI, Shuping, Jun YU
• التنسيق: text
• اللغة: English
• منشور في: Institutional Knowledge at Singapore Management University 2023
• الموضوعات: long memory; fractional integration; roughness; short-run dynamics; realized volatility; Econometrics
• الوصول للمادة أونلاين: https://ink.library.smu.edu.sg/soe_research/2638; https://ink.library.smu.edu.sg/context/soe_research/article/3637/viewcontent/VolatilityPuzzle_sv.pdf

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...