Advances and Applications in Statistics
Volume 52, Issue 6, Pages 363 - 374
(June 2018) http://dx.doi.org/10.17654/AS052060363 |
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A STATISTICAL TEST OF VOLATILITY PERSISTENCE IN GARCH MODELS AND APPLICATION TO STOCK EXCHANGE
B. Benaid and H. Bouzahir
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Abstract: In this paper, we first establish the limiting distribution of the statistical test under the persistence condition of volatility in Generalized Auto-Regressive Conditional Heteroskedasticity GARCH(1,1) model. Then, we test the presence of volatility persistence in stock return time series by using S&P500 data and CAC40 data. The performed analysis confirms that the hypothesis of persistence in variance is rejected by the statistical test for both SP&500 and CAC40 with a critical p-value 0.05. |
Keywords and phrases: convergence in distribution, IGARCH model, statistical test, stochastic integrals, volatility persistence. |
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