IDEAS home Printed from https://ideas.repec.org/a/taf/apfiec/v14y2004i18p1313-1318.html
   My bibliography  Save this article

Components of volatility and their empirical measures: a note

Author

Listed:
  • Dipankor Coondoo
  • Paramita Mukherjee

Abstract

A descriptive decomposition of the observed volatility of a variable into three components is proposed here. These components have been named the Strength, Duration and Persistence of volatility. This decomposition is unique and is such that measurement and analysis of these components will facilitate both a better understanding of the nature of volatility of a variable and, more importantly, a comparison of the patterns of volatility of two or more variables. The proposed methodology is illustrated here by applying it to the time series of daily observations on three variables, viz., stock return, inter-bank call money rate and foreign institutional investment, pertaining to India.

Suggested Citation

  • Dipankor Coondoo & Paramita Mukherjee, 2004. "Components of volatility and their empirical measures: a note," Applied Financial Economics, Taylor & Francis Journals, vol. 14(18), pages 1313-1318.
    • Handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1313-1318
    DOI: 10.1080/09603100412331313550
    as

    Download full text from publisher

    File URL: http://www.tandfonline.com/doi/abs/10.1080/09603100412331313550
    Download Restriction: Access to full text is restricted to subscribers.
    File URL: https://libkey.io/10.1080/09603100412331313550?utm_source=ideas
    LibKey link: if access is restricted and if your library uses this service, LibKey will redirect you to where you can use your library subscription to access this item
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    References listed on IDEAS

    as
    1. Stephen G. Cecchetti & Michael Ehrmann, 2002. "Does Inflation Targeting Increase Output Volatility?: An International Comparison of Policymakers' Preferences and Outcomes," Central Banking, Analysis, and Economic Policies Book Series, in: Norman Loayza & Klaus Schmidt-Hebbel & Norman Loayza (Series Editor) & Klaus Schmidt-Hebbel (Series (ed.),Monetary Policy: Rules and Transmission Mechanisms, edition 1, volume 4, chapter 9, pages 247-274, Central Bank of Chile.
    2. Kocenda, Evzen & Valachy, Juraj, 2006. "Exchange rate volatility and regime change: A Visegrad comparison," Journal of Comparative Economics, Elsevier, vol. 34(4), pages 727-753, December.
    3. Clinton WATKINS & Michael McALEER, 2002. "Volatility of a Market Index and its Components: An Application to Commodity Markets," Computing in Economics and Finance 2002 18, Society for Computational Economics.
    4. Andreou, Elena & Ghysels, Eric, 2002. "Rolling-Sample Volatility Estimators: Some New Theoretical, Simulation, and Empirical Results," Journal of Business & Economic Statistics, American Statistical Association, vol. 20(3), pages 363-376, July.
    5. Barry Eichengreen & Hui Tong, 2003. "Stock Market Volatility and Monetary Policy: What the Historical Record Shows," RBA Annual Conference Volume (Discontinued), in: Anthony Richards & Tim Robinson (ed.),Asset Prices and Monetary Policy, Reserve Bank of Australia.
    Full references (including those not matched with items on IDEAS)

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Laurence M. Ball & Niamh Sheridan, 2004. "Does Inflation Targeting Matter?," NBER Chapters, in: The Inflation-Targeting Debate, pages 249-276, National Bureau of Economic Research, Inc.
    2. Adam Elbourne & Debby Lanser & Bert Smid & Martin Vromans, 2008. "Macroeconomic resilience in a DSGE model," CPB Discussion Paper 96.rdf, CPB Netherlands Bureau for Economic Policy Analysis.
    3. Martin Širůček, 2013. "Impact of money supply on stock bubbles," Acta Universitatis Agriculturae et Silviculturae Mendelianae Brunensis, Mendel University Press, vol. 61(7), pages 2835-2842.
    4. Jean-Bernard Chatelain & Kirsten Ralf, 2017. "Can We Identify the Fed's Preferences?," Working Papers halshs-01549908, HAL.
    5. Stephen G Cecchetti & Alfonso Flores-Lagunes & Stefan Krause, 2005. "Assessing the Sources of Changes in the Volatility of Real Growth," RBA Annual Conference Volume (Discontinued), in: Christopher Kent & David Norman (ed.),The Changing Nature of the Business Cycle, Reserve Bank of Australia.
    6. Deba Prasad Rath & Rudra Sensarma, 2006. "Money-Price Variability and Asset Prices Volatility: Evidence from India," Journal of Quantitative Economics, Springer;The Indian Econometric Society (TIES), vol. 4(2), pages 59-74, July.
    7. D Büttner & B. Hayo, 2012. "EMU-related news and financial markets in the Czech Republic, Hungary and Poland," Applied Economics, Taylor & Francis Journals, vol. 44(31), pages 4037-4053, November.
    8. John M. Maheu & Thomas H. McCurdy, 2002. "Nonlinear Features of Realized FX Volatility," The Review of Economics and Statistics, MIT Press, vol. 84(4), pages 668-681, November.
    9. Ehrmann, Michael & Tzamourani, Panagiota, 2012. "Memories of high inflation," European Journal of Political Economy, Elsevier, vol. 28(2), pages 174-191.
    10. David Shepherd & Robert Dixon, 2008. "The Cyclical Dynamics and Volatility of Australian Output and Employment," The Economic Record, The Economic Society of Australia, vol. 84(264), pages 34-49, March.
    11. Bubák, Vít & Kocenda, Evzen & Zikes, Filip, 2011. "Volatility transmission in emerging European foreign exchange markets," Journal of Banking & Finance, Elsevier, vol. 35(11), pages 2829-2841, November.
    12. Petra M. Geraats, 2006. "Transparency of Monetary Policy: Theory and Practice," CESifo Economic Studies, CESifo Group, vol. 52(1), pages 111-152, March.
    13. Maria Grydaki & Stilianos Fountas, 2010. "What Explains Nominal Exchange Rate Volatility? Evidence from the Latin American Countries," Discussion Paper Series 2010_10, Department of Economics, University of Macedonia, revised Jul 2010.
    14. Peter Reinhard Hansen & Asger Lunde, 2005. "A Realized Variance for the Whole Day Based on Intermittent High-Frequency Data," Journal of Financial Econometrics, Oxford University Press, vol. 3(4), pages 525-554.
    15. Irene Brunetti & Davide fiaschi & Lisa Gianmoena, 2013. "An Index of Growth Rate Volatility: Methodology and an Application to European Regions," Discussion Papers 2013/169, Dipartimento di Economia e Management (DEM), University of Pisa, Pisa, Italy.
    16. Alejandro Rodríguez Arana, 2014. "The relationship between the variance of inflation and the variance of output under different types of monetary policy," Working Papers 0814, Universidad Iberoamericana, Department of Economics.
    17. Ozcan Ceylan, 2015. "Limited information-processing capacity and asymmetric stock correlations," Quantitative Finance, Taylor & Francis Journals, vol. 15(6), pages 1031-1039, June.
    18. Felipe Morandé & Klaus Schmidt-Hebbel, 2000. "Chile's Peso: Better than (Just) Living with the Dollar?," Latin American Journal of Economics-formerly Cuadernos de Economía, Instituto de Economía. Pontificia Universidad Católica de Chile., vol. 37(110), pages 177-226.
    19. Assenmacher-Wesche, Katrin, 2006. "Estimating Central Banks' preferences from a time-varying empirical reaction function," European Economic Review, Elsevier, vol. 50(8), pages 1951-1974, November.
    20. repec:wsr:wpaper:y:2010:i:057 is not listed on IDEAS
    21. Nour Meddahi, 2002. "A theoretical comparison between integrated and realized volatility," Journal of Applied Econometrics, John Wiley & Sons, Ltd., vol. 17(5), pages 479-508.

    More about this item

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:taf:apfiec:v:14:y:2004:i:18:p:1313-1318. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Chris Longhurst (email available below). General contact details of provider: http://www.tandfonline.com/RAFE20 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.