Estimating persistence in the volatility
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Guglielmo Maria Caporale; Luis A. Gil-Alana
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Article
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2011
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John Wiley and Sons
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English
โ 546 KB
## ABSTRACT This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter, based on the frequency domain, propos