Overlaying Time Scales and Persistence Estimation of Financial Volatility Data

@inproceedings{Hillebrand2002OverlayingTS,
  title={Overlaying Time Scales and Persistence Estimation of Financial Volatility Data},
  author={Eric Hillebrand},
  year={2002}
}
A common finding in the empirical literature is that financial volatility exhibits high persistence, or slow mean reversion of the order of months. We present evidence that financial volatility data contains more than a single time scale. When occasional parameter changes are not accounted for in global GARCH(1,1) estimations, they lead to an estimated… CONTINUE READING