A simple generalized long persistence realized volatility model

China, Wen-Cheong and Isa, Zaidi and Mohd Nor, Abu Hassan Shaari (2007) A simple generalized long persistence realized volatility model. International Journal of Business and Society, 8 (1). pp. 1-14. ISSN 1511-6670

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Abstract

This paper investigates the observable (realized) volatility measurement in the Malaysian stock market. The paper proposes a long persistence observable volatility model, which comprises the leverage effect of Autoregressive Fractionally Integrated Moving Average Model (ARFIMAX) with time varying volatility and the inclusion of heterogeneous autoregressive (HAR) components as the contemporaneous variables. The empirical results show that the proposed model provides substantial improvement in the model fitting as well as specification.

Item Type: Article
Subjects: H Social Sciences > HG Finance
Depositing User: Users 1102 not found.
Date Deposited: 01 Feb 2013 07:30
Last Modified: 01 Feb 2013 07:30
URI: http://shdl.mmu.edu.my/id/eprint/3817

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