Common persistence in conditional variance: A reconsideration

Changshuai Li ()

Economic Modelling, 2012, vol. 29, issue 5, 1809-1819

Abstract: This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.

Keywords: Persistence in variance; Co-persistence in variance; Long memory Integrated-GARCH (IGARCH); Vector GARCH (VGARCH); Decay coefficient (search for similar items in EconPapers)
JEL-codes: C10 C13 (search for similar items in EconPapers)
Date: 2012
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (5)

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Working Paper: Common persistence in conditional variance: A reconsideration (2011)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecmode:v:29:y:2012:i:5:p:1809-1819

DOI: 10.1016/j.econmod.2012.05.011

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