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The Long Memory of Equity Volatility and the Macroeconomy: International Evidence

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  • Dräger, Lena
  • Nguyen, Duc Binh Benno
  • Prokopczuk, Marcel
  • Sibbertsen, Philipp

Abstract

This paper examines long memory volatility in international stock markets. We show that long memory volatility is widespread in a panel dataset of eighty-two countries and that the degree of memory in the panel can be related to macroeconomic variables such as short- and long-run interest rates and unemployment. Moreover, we find that developed economies possess longer memory in volatility than emerging and frontier countries and that stock market jumps are negatively correlated with long memory of volatility. Overall, our results provide some evidence of a link between stock market uncertainty and macroeconomic conditions, which is prevalent across a large range of countries.

Suggested Citation

  • Dräger, Lena & Nguyen, Duc Binh Benno & Prokopczuk, Marcel & Sibbertsen, Philipp, 2020. "The Long Memory of Equity Volatility and the Macroeconomy: International Evidence," Hannover Economic Papers (HEP) dp-667, Leibniz Universität Hannover, Wirtschaftswissenschaftliche Fakultät.
    • Handle: RePEc:han:dpaper:dp-667
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    References listed on IDEAS

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    More about this item

    Keywords

    International; Long Memory; Volatility;
    All these keywords.

    JEL classification:

    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets
    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • F30 - International Economics - - International Finance - - - General
    • F40 - International Economics - - Macroeconomic Aspects of International Trade and Finance - - - General

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