Common persistence in conditional variance: A reconsideration

Changshuai Li ()

Papers from arXiv.org

Abstract: This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.

Date: 2011-12
New Economics Papers: this item is included in nep-ets
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http://arxiv.org/pdf/1112.1363 Latest version (application/pdf)

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Journal Article: Common persistence in conditional variance: A reconsideration (2012)
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Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:1112.1363

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