Long-memory in volatilities of German stock returns

Philipp Sibbertsen

No 2001,42, Technical Reports from Technische Universität Dortmund, Sonderforschungsbereich 475: Komplexitätsreduktion in multivariaten Datenstrukturen

Abstract: We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by estimating the memory parameter of the absolute returns with classical log-periodogram regression as well as by employing the tapered periodogram. Both estimators give similar values for the memory parameter what indicates long-memory.

Keywords: Long-memory; volatilities; log-periodogram estimation (search for similar items in EconPapers)
Date: 2001
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Journal Article: Long memory in volatilities of German stock returns (2004)
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