Modeling long memory in the EU stock market: evidence from the STOXX 50 returns

Detalhes bibliográficos
Autor(a) principal: Bentes, S.
Data de Publicação: 2014
Outros Autores: Ferreira, N. B.
Tipo de documento: Artigo
Idioma: eng
Título da fonte: Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
Texto Completo: https://ciencia.iscte-iul.pt/public/pub/id/19592
http://hdl.handle.net/10071/9566
Resumo: This paper examines the persistence behaviour of STOXX 50 returns. To this end, we estimated the GARCH, IGARCH and FIGARCH models based on a data set comprising the daily returns from January 5th, 1987 to December 27th, 2013. The results show that the long-memory in the volatility returns constitutes an intrinsic and empirically significant characteristic of the data and are, therefore, in consonance with previous evidence on the subject. Moreover, our findings reveal that the FIGARCH is the best model to capture linear dependence in the conditional variance of the STOXX 50 returns as given by the information criteria
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spelling Modeling long memory in the EU stock market: evidence from the STOXX 50 returnsStock long-memoryPersistenceVolatilityConditional varianceFIGARCHThis paper examines the persistence behaviour of STOXX 50 returns. To this end, we estimated the GARCH, IGARCH and FIGARCH models based on a data set comprising the daily returns from January 5th, 1987 to December 27th, 2013. The results show that the long-memory in the volatility returns constitutes an intrinsic and empirically significant characteristic of the data and are, therefore, in consonance with previous evidence on the subject. Moreover, our findings reveal that the FIGARCH is the best model to capture linear dependence in the conditional variance of the STOXX 50 returns as given by the information criteriaExcelingTech Publisher, UK2015-08-05T11:24:07Z2014-01-01T00:00:00Z20142015-08-05T11:23:23Zinfo:eu-repo/semantics/publishedVersioninfo:eu-repo/semantics/articleapplication/pdfhttps://ciencia.iscte-iul.pt/public/pub/id/19592http://hdl.handle.net/10071/9566eng2047-0916Bentes, S.Ferreira, N. B.info:eu-repo/semantics/openAccessreponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãoinstacron:RCAAP2023-11-09T18:00:20Zoai:repositorio.iscte-iul.pt:10071/9566Portal AgregadorONGhttps://www.rcaap.pt/oai/openaireopendoar:71602024-03-19T22:31:57.784641Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informaçãofalse
dc.title.none.fl_str_mv Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
title Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
spellingShingle Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
Bentes, S.
Stock long-memory
Persistence
Volatility
Conditional variance
FIGARCH
title_short Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
title_full Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
title_fullStr Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
title_full_unstemmed Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
title_sort Modeling long memory in the EU stock market: evidence from the STOXX 50 returns
author Bentes, S.
author_facet Bentes, S.
Ferreira, N. B.
author_role author
author2 Ferreira, N. B.
author2_role author
dc.contributor.author.fl_str_mv Bentes, S.
Ferreira, N. B.
dc.subject.por.fl_str_mv Stock long-memory
Persistence
Volatility
Conditional variance
FIGARCH
topic Stock long-memory
Persistence
Volatility
Conditional variance
FIGARCH
description This paper examines the persistence behaviour of STOXX 50 returns. To this end, we estimated the GARCH, IGARCH and FIGARCH models based on a data set comprising the daily returns from January 5th, 1987 to December 27th, 2013. The results show that the long-memory in the volatility returns constitutes an intrinsic and empirically significant characteristic of the data and are, therefore, in consonance with previous evidence on the subject. Moreover, our findings reveal that the FIGARCH is the best model to capture linear dependence in the conditional variance of the STOXX 50 returns as given by the information criteria
publishDate 2014
dc.date.none.fl_str_mv 2014-01-01T00:00:00Z
2014
2015-08-05T11:24:07Z
2015-08-05T11:23:23Z
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv https://ciencia.iscte-iul.pt/public/pub/id/19592
http://hdl.handle.net/10071/9566
url https://ciencia.iscte-iul.pt/public/pub/id/19592
http://hdl.handle.net/10071/9566
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 2047-0916
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv ExcelingTech Publisher, UK
publisher.none.fl_str_mv ExcelingTech Publisher, UK
dc.source.none.fl_str_mv reponame:Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
instname:Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron:RCAAP
instname_str Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
instacron_str RCAAP
institution RCAAP
reponame_str Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
collection Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos)
repository.name.fl_str_mv Repositório Científico de Acesso Aberto de Portugal (Repositórios Cientìficos) - Agência para a Sociedade do Conhecimento (UMIC) - FCT - Sociedade da Informação
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