FRACTIONAL INTEGRATION IN THE STOCK MARKET VOLATILITY SERIES

Luis Gil-Alana

International Journal of Theoretical and Applied Finance (IJTAF), 2002, vol. 05, issue 08, 775-783

Abstract: In this article we model the stock market volatility in the US, the UK, France, Germany and Japan by means of using fractionally integrated techniques. The results, based on the tests of Robinson [24] show that the volatility series can be well described in terms ofI(d)statistical processes, withdhigher than 0.5 but smaller than 1, implying thus nonstationary but mean-reverting behaviour.

Keywords: Volatility; fractional integration; long memory (search for similar items in EconPapers)
Date: 2002
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DOI: 10.1142/S0219024902001663

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