Long-range Dependence in the Returns and Volatility of the Brazilian Stock Market

@inproceedings{Cavalcante2003LongrangeDI,
  title={Long-range Dependence in the Returns and Volatility of the Brazilian Stock Market},
  author={Jorge Cavalcante},
  year={2003}
}
This study provides empirical evidence of the long-range dependence in the returns and volatility of Brazilian Stock Market (BSM). We test for long memory in the daily returns and volatility series. The measures of long-term persistence employed are the modi...ed rescaled range (R/S) statistic proposed by Lo (1991), the rescaled variance V/S statistic proposed by Giraitis et al. (2003), and the semiparametric estimator of Robinson (1995). Further analysis is conducted via FIGARCH model of… CONTINUE READING

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