Uncovering long memory in high frequency UK futures
|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 memory; APARCH; High 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|Other versions:||http://www.ucd.ie/bankingfinance/docs/wp/COTTER3.PDF||Language:||en||Status of Item:||Not peer reviewed|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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