Uncovering Long Memory in High Frequency UK Futures

John Cotter

No 200414, Working Papers from Geary Institute, University College Dublin

Abstract: Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility series for three different asset types, using stock index, interest rate and bond futures are analysed. Long memory is strongest for the bond contract. Long memory is always strongest for the absolute returns series and at a power transformation of k

Keywords: Long Memory; APARCH; High Frequency Futures (search for similar items in EconPapers)
Pages: 29 pages
Date: 2011
New Economics Papers: this item is included in nep-ets, nep-mst and nep-rmg
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http://www.ucd.ie/geary/static/publications/workingpapers/gearywp200414.pdf First version, 2004 (application/pdf)

Related works:
Working Paper: Uncovering Long Memory in High Frequency UK Futures (2011)
Journal Article: Uncovering long memory in high frequency UK futures (2005)
Working Paper: Uncovering Long Memory in High Frequency UK Futures (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:ucd:wpaper:200414

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