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Volatility persistence in asset markets: long memory in high/low prices

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  • J. D. Byers
  • D. A. Peel

Abstract

This study addresses the issue of volatility persistence in asset markets by analysing the behaviour of daily ratios of highest and lowest prices for a number of different assets both inter-war and post-war. These series include sterling exchange rates, S&P futures prices, the FT30 and the price of gold. It is found that each of these series can be characterized as having the property of long memory so that observations far apart in time are non-negligibly correlated. More importantly, that each series can be modelled as fractionally-integrated noise, so that its behaviour can be captured by a single parameter.

Suggested Citation

  • J. D. Byers & D. A. Peel, 2001. "Volatility persistence in asset markets: long memory in high/low prices," Applied Financial Economics, Taylor & Francis Journals, vol. 11(3), pages 253-260.
    • Handle: RePEc:taf:apfiec:v:11:y:2001:i:3:p:253-260
    DOI: 10.1080/096031001300138645
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    References listed on IDEAS

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    1. Jonathan A. Batten & Cetin Ciner & Brian M. Lucey, 2015. "Which precious metals spill over on which, when and why? Some evidence," Applied Economics Letters, Taylor & Francis Journals, vol. 22(6), pages 466-473, April.
    2. Batten, Jonathan A. & Ellis, Craig A., 2005. "Paramater estimation bias and volatility scaling in Black-Scholes option prices," International Review of Financial Analysis, Elsevier, vol. 14(2), pages 165-176.
    3. Výrost, Tomáš & Baumöhl, Eduard & Lyócsa, Štefan, 2011. "On the relationship of persistence and number of breaks in volatility: new evidence for three CEE countries," MPRA Paper 27927, University Library of Munich, Germany.
    4. O'Connor, Fergal A. & Lucey, Brian M. & Batten, Jonathan A. & Baur, Dirk G., 2015. "The financial economics of gold — A survey," International Review of Financial Analysis, Elsevier, vol. 41(C), pages 186-205.
    5. Peter G. Szilagyi & Jonathan A. Batten, 2006. "Arbitrage, Covered Interest Parity and Long-Term Dependence between the US Dollar and the Yen," The Institute for International Integration Studies Discussion Paper Series iiisdp128, IIIS.
    6. A. Assaf, 2007. "Fractional integration in the equity markets of MENA region," Applied Financial Economics, Taylor & Francis Journals, vol. 17(9), pages 709-723.

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