Term Premium and Long-range Dependence in Volatility: A FIGARCH-M Estimation on Some Asian Countries

Sandrine Lardic and Valérie Mignon
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Sandrine Lardic: University of Paris, X-Nanrerre, modem-CNRS France
Valérie Mignon: University of Paris, X-nanrerre, THEMA-CNRS, UFR SEGMI, 200 avenue de la République, 92001 Nanterre Cedex, France

Journal of Emerging Market Finance, 2004, vol. 3, issue 1, 1-19

Abstract: Recent events in financial markets put forward the relevance of a study relating to the Asian interest rate term premia volatility series. More specifically, our object is to test whether long-term dependent processes, such as FIGARCH ones, are appropriated for modelling volatility series. Results suggest that the considered Asian series of volatility are characterised by a strong dependent structure, which indicates that shocks to volatility have persistent consequences. Moreover, through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.

Keywords: Term premium; long-term memory; FIGARCH in mean processes (search for similar items in EconPapers)
Date: 2004
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Persistent link: https://EconPapers.repec.org/RePEc:sae:emffin:v:3:y:2004:i:1:p:1-19

DOI: 10.1177/097265270400300101

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