Volatility persistence in the Russian stock market

Guglielmo Maria Caporale, Luis Gil-Alana and Trilochan Tripathy

Finance Research Letters, 2020, vol. 32, issue C

Abstract: This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility indices (namely the originally created RTSVX and the new RVI that has replaced it) using daily data over the period 2010–2018. The empirical findings are consistent and imply in all cases that the two series are mean-reverting, i.e. they are not highly persistent and the effects of shocks disappear over time. This is true regardless of whether the errors are assumed to follow a white noise or autocorrelated process; this is confirmed by the rolling window estimation, and it holds for both subsamples, before and after the detected break. On the whole, it seems shocks do not have permanent effects on volatility in the Russian stock market.

Keywords: RTSVX; RVI; Volatility; Persistence; Fractional integration; Long memory (search for similar items in EconPapers)
JEL-codes: C22 G12 (search for similar items in EconPapers)
Date: 2020
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:32:y:2020:i:c:s154461231830624x

DOI: 10.1016/j.frl.2019.06.014

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