The Long Memory of Equity Volatility: International Evidence
Duc Binh Benno Nguyen,
Marcel Prokopczuk () and
Philipp Sibbertsen ()
Hannover Economic Papers (HEP) from Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät
This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in eighty-two countries and that the degree of memory can be related to macroeconomic variables such as inflation, unemployment rates, interest rates or stability of a country measured by jumps. The relationships hold both in the time-series and the cross-sectional dimension. We also find that developed countries possess longer memory in volatility than emerging and frontier countries.
Keywords: International; Long Memory; Volatility (search for similar items in EconPapers)
JEL-codes: G15 C22 F30 F40 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:han:dpaper:dp-614
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