Rolling Estimations of Long Range Dependence Volatility for High Frequency S&P500 Index

被引：0

作者：

Cheong, Chin Wen ^{[1
]}

Pei, Tan Pei ^{[2
]}

机构：

[1] Multimedia Univ, Fac Management, Cyberjaya 63100, Selangor, Malaysia

[2] Univ Malaya, Fac Econ & Adm, Kuala Lumpur 50603, Malaysia

来源：

22ND NATIONAL SYMPOSIUM ON MATHEMATICAL SCIENCES (SKSM22) | 2015年 / 1682卷

关键词：

long range dependence; rescaled adjusted range; realized volatility; EMERGING MARKETS; MEMORY; EFFICIENCY; RETURNS; REAL;

D O I：

10.1063/1.4932467

中图分类号：

O1 [数学];

学科分类号：

0701 ; 070101 ;

摘要：

This study evaluates the time-varying long range dependence behaviors of the S&P500 volatility index using the modified rescaled adjusted range (R/S) statistic. For better computational result, a high frequency rolling bipower variation realized volatility estimates are used to avoid possible abrupt jump. The empirical analysis findings allow us to understand better the informationally market efficiency before and after the subprime mortgage crisis.

引用

页数：5

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