Volatility of Stock-Market Indexes--An Analysis Based on SEMIFAR Models

Jan Beran and Dirk Ocker

Journal of Business & Economic Statistics, 2001, vol. 19, issue 1, 103-16

Abstract: By applying SEMIFAR models, we examine "long memory" in the volatility of worldwide stock-market indexes. Our analysis yields strong evidence of "long memory" in stock-market volatility, either in terms of stochastic long-range dependence or in the form of deterministic trends. In some cases, both components are detected in the data. Thus, at least partially, there appears to be even stronger and more systematic long memory than suggested by a stationary model with long-range dependence.

Date: 2001
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Persistent link: https://EconPapers.repec.org/RePEc:bes:jnlbes:v:19:y:2001:i:1:p:103-16

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