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논문 기본 정보
- 자료유형
- 학술저널
- 저자정보
- 저널정보
- 한국자료분석학회 Journal of The Korean Data Analysis Society Journal of The Korean Data Analysis Society 제18권 제6호
- 발행연도
- 2016.12
- 수록면
- 2,925 - 2,935 (11page)
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This paper has examined the origins of the long memory volatility property using the high frequency data of eight Asian-Pacific stock market returns. We use various long memory models, namely non-parametric (classical and modified rescaled range (R/S) analysis) and semi-parametric (Geweke, Porter-Hudak (GPH) and Local Whittle (LW)) tests, over various time scale intraday returns, such as 10-min, 15-min and 30-min. We provide three important implications in this study. First, we find the persistence in the autocorrelations of 10-min intraday volatility. Second, both non-parametric R/S analyses show absence (presence) of long memory in the intraday returns (volatility). Third, using two semi-parametric long memory tests (GPH and LW), the estimates of long memory parameter (d) are invariant to temporally aggregated intraday volatility returns, implying that a long memory phenomenon is an inherent characteristic of the data generating process, not a result of structural breaks.
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참고문헌 (26)
참고문헌 신청
Andersen, T. G. / 1997 / Heterogeneous information arrivals and return volatility dynamics : Uncovering the long-run in high frequency returns / Journal of Finance 52:975~1005
Andersen, T. G. / 1997 / Intraday periodicity and volatility persistence in financial markets / Journal of Empirical Finance 4:115~158
Assaf, A. / 2015 / Long memory and level shifts in REITs returns and volatility / International Review of Financial Analysis 42:172~182
Baillie, R. T. / 1996 / Long memory processes and fractional integration in econometrics / Journal of Econometrics 73:5~59
Banerjee, A. / 2005 / Modelling structural breaks, long memory and stock market volatility : An overview / Journal of Econometrics 129:1~34
Andersen, T. G. / 1997 / Intraday periodicity and volatility persistence in financial markets / Journal of Empirical Finance 4:115~158
Assaf, A. / 2015 / Long memory and level shifts in REITs returns and volatility / International Review of Financial Analysis 42:172~182
Baillie, R. T. / 1996 / Long memory processes and fractional integration in econometrics / Journal of Econometrics 73:5~59
Banerjee, A. / 2005 / Modelling structural breaks, long memory and stock market volatility : An overview / Journal of Econometrics 129:1~34
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