Do common volatility models capture cyclical behaviour in volatility?

Adam Clements and Jerome Collet

Applied Financial Economics, 2008, vol. 18, issue 7, 599-604

Abstract: This article examines whether commonly used models of volatility can capture the cyclical behaviour of equity market volatility. The ability of a number of models to account for the dynamics governing periods of increasing and decreasing volatility will be examined. In summary, the commonly used models considered here do not adequately capture the average duration of cycles or the duration dependence in equity volatility.

Date: 2008
References: Add references at CitEc
Citations: View citations in EconPapers (2)

Downloads: (external link)
http://www.tandfonline.com/doi/abs/10.1080/09603100600993802 (text/html)
Access to full text is restricted to subscribers.

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:taf:apfiec:v:18:y:2008:i:7:p:599-604

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/RAFE20

DOI: 10.1080/09603100600993802

Access Statistics for this article

Applied Financial Economics is currently edited by Anita Phillips

More articles in Applied Financial Economics from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().