Testing for a unit root in the volatilit
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Jonathan H. Wright
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Article
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1999
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John Wiley and Sons
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English
โ 168 KB
๐ 2 views
It is now well established that the volatility of asset returns is time varying and highly persistent. One leading model that is used to represent these features of the data is the stochastic volatility model. The researcher may test for non-stationarity of the volatility process by testing for a un