An investigation of long memory in various measures of stock market volatility, using wavelets and aggregate series

Using methods based on wavelets and aggregate series, long memory in the absolute daily returns, squared daily returns, and log squared daily returns of the S&P 500 Index are investigated. First, we estimate the long memory parameter in each series using a method based on the discrete wavelet tr...

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Published in:Journal of economics and finance 2008-04, Vol.32 (2), p.136-147
Main Authors: DiSario, Robert, Saraoglu, Hakan, McCarthy, Joseph, Li, H. C.
Format: Article
Language:English
Subjects:
Economics
Economics and Finance
Finance
G10
G12
Investigations
Long memory
Macroeconomics/Monetary Economics//Financial Economics
Returns
Securities markets
Studies
Volatility
Wavelet transforms
Wavelets
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cited_by cdi_FETCH-LOGICAL-c3596-f0095cdaab154d60f88c815f343aa210c74313ee72aaaee3b3f90937d9a6108f3
cites cdi_FETCH-LOGICAL-c3596-f0095cdaab154d60f88c815f343aa210c74313ee72aaaee3b3f90937d9a6108f3
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container_title Journal of economics and finance
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creator DiSario, Robert
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description Using methods based on wavelets and aggregate series, long memory in the absolute daily returns, squared daily returns, and log squared daily returns of the S&P 500 Index are investigated. First, we estimate the long memory parameter in each series using a method based on the discrete wavelet transform. For each series, the variance method and the absolute value method based on aggregate series are then employed to investigate long memory. Our findings suggest that these methods provide evidence of long memory in the volatility of the S&P 500 Index.
doi_str_mv 10.1007/s12197-007-9010-6
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source Business Source Ultimate; EBSCOhost Econlit with Full Text; ABI/INFORM Global; Springer Nature
subjects Economics
Economics and Finance
Finance
G10
G12
Investigations
Long memory
Macroeconomics/Monetary Economics//Financial Economics
Returns
Securities markets
Studies
Volatility
Wavelet transforms
Wavelets
title An investigation of long memory in various measures of stock market volatility, using wavelets and aggregate series
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