Uncovering long memory in high frequency UK futures

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Title: Uncovering long memory in high frequency UK futures
Authors: Cotter, John
Permanent link: http://hdl.handle.net/10197/1142
Date: 2004
Abstract: Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatility series for three different asset types, using stock index, interest rate and bond futures are analysed. Long memory is strongest for the bond contract. Long memory is always strongest for the absolute returns series and at a power transformation of k < 1. The long memory findings generally incorporate intraday periodicity. The APARCH model incorporating seven related GARCH processes generally models the futures series adequately documenting ARCH, GARCH and leverage effects.
Funding Details: University College Dublin
Type of material: Working Paper
Publisher: University College Dublin. School of Business. Centre for Financial Markets
Series/Report no.: Centre for Financial Markets working paper series; WP-04-04
Copyright (published version): Centre for Financial Markets, 2004
Keywords: Long memoryAPARCHHigh frequency futures
Subject LCSH: Futures--Mathematical models
Analysis of variance
Other versions: http://www.ucd.ie/bankingfinance/docs/wp/COTTER3.PDF
Language: en
Status of Item: Not peer reviewed
Appears in Collections:Centre for Financial Markets Working Papers

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