Modelling stochastic volatility in asset returns using fractionally integrated semiparametric techniques

Guglielmo Maria Caporale and Gil-Alana, Luis A.

Applied Financial Economics Letters, 2006, vol. 2, issue 1, pages 9-12

Abstract: This study estimates the order of integration in the volatility process of several exchange rates and stock returns using fractionally integrated semiparametric techniques, namely a local Whittle semiparametric estimator. The results suggest that all series can be well described in terms of I ( d ) statistical models, with values of d higher than 0, indicating long-memory behaviour.

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