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Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data

Author

Listed:
  • Luis Alberiko

    (Navarra Center for International Development)

  • OlaOluwa S. Yaya
  • Olarenwaju I. Shittu

Abstract

This paper is a follow up to Gil-Alana, Shittu and Yaya (2014). In that paper, fractional integration and symmetric volatility modeling were considered on monthly frequency data, while the present paper considers high frequency data on an asymmetric volatility model. The data were first identified within the respective bull and bear phases following earlier results in the previous paper. Then, fractional integration and the asymmetric volatility model of Glosten, Jaganathan and Runkle (GJR) were applied on the stock returns. Long range dependence was detected in the squared stock returns at each market phase, and they were more persistent than those obtained in the monthly frequency data. The estimates of asymmetry of the GJR model actually detected the different patterns of the bad news (bear phases) and the good news (bull phases).

Suggested Citation

  • Luis Alberiko & OlaOluwa S. Yaya & Olarenwaju I. Shittu, 2015. "Fractional integration and asymmetric volatility in european, asian and american bull and bear markets. Applications to high frequency stock data," NCID Working Papers 07/2015, Navarra Center for International Development, University of Navarra.
    • Handle: RePEc:nva:unnvaa:wp07-2015
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    References listed on IDEAS

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    More about this item

    Keywords

    Bull and bear periods; fractional integration; high frequency; stock returns; volatilty;
    All these keywords.

    JEL classification:

    • C22 - Mathematical and Quantitative Methods - - Single Equation Models; Single Variables - - - Time-Series Models; Dynamic Quantile Regressions; Dynamic Treatment Effect Models; Diffusion Processes
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G15 - Financial Economics - - General Financial Markets - - - International Financial Markets

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