Different strokes for different folks: long memory and roughness

• Main Authors: SHI, Shuping, YU, Jun
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2021
• Subjects: Long memory; fractional integration; roughness; short-run dynamics; realized volatility; Econometrics
• Online Access: https://ink.library.smu.edu.sg/soe_working_paper/5; https://ink.library.smu.edu.sg/cgi/viewcontent.cgi?article=1006&context=soe_working_paper
• Institution: Singapore Management University

The log realized volatility of financial assets is often modeled as an autoregressive fractionally integrated moving average model (ARFIMA) process, denoted by ARFIMA(p, d, q), with p = 1 and q = 0. Two conflicting results have been found in the literature regarding the dynamics. One stream shows th...