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Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques

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  • Guglielmo Maria Caporale
  • Luis A. Gil-Alana

Abstract

In this article we estimate the order of integration of the volatility process of several exchange rates and stock returns using fractionally integrated semiparametric techniques,namely a local Whittle semiparametric estimator. The results suggest that all series can be well described in terms of I(d) statistical models, with values of d higher than 0, indicating long-memory behaviour.

Suggested Citation

  • Guglielmo Maria Caporale & Luis A. Gil-Alana, 2005. "Modelling Stochastic Volatility In Asset Returns Using Fractionally Integrated Semiparametric Techniques," Economics and Finance Discussion Papers 05-10, Economics and Finance Section, School of Social Sciences, Brunel University.
    • Handle: RePEc:bru:bruedp:05-10
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