Volatility Persistence and Predictability of Squared Returns in GARCH(1,1) Models

Umberto Triacca ()

Central European Journal of Economic Modelling and Econometrics, 2009, vol. 1, issue 3, 285-291

Abstract: Volatility persistence is a stylized statistical property of financial time-series data such as exchange rates and stock returns. The purpose of this letter is to investigate the relationship between volatility persistence and predictability of squared returns.

Keywords: GARCH Models; returns; time series; volatility persistence (search for similar items in EconPapers)
JEL-codes: C13 C22 G11 G12 (search for similar items in EconPapers)
Date: 2009
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
http://cejeme.org/publishedarticles/2010-46-07-634035663978281250-2469.pdf (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:psc:journl:v:1:y:2009:i:3:p:285-291

Access Statistics for this article

More articles in Central European Journal of Economic Modelling and Econometrics from Central European Journal of Economic Modelling and Econometrics
Bibliographic data for series maintained by Damian Jelito ().