English

Common persistence in conditional variance: A reconsideration

Statistical Finance 2011-12-07 v1 Portfolio Management Risk Management

Abstract

This paper demonstrates the flaws of co-persistence theory proposed by Bollerslev and Engle (1993) which cause the theory can hardly be applied. With the introduction of the half-life of decay coefficient as the measure of the persistence, and both the weak definition of persistence and co-persistence in variance, this study attempts to solve the problems by using exhaustive search algorithm for obtaining co-persistent vector. In addition, this method is illustrated to research the co-persistence of stock return volatility in 10 European countries.

Cite

@article{arxiv.1112.1363,
  title  = {Common persistence in conditional variance: A reconsideration},
  author = {Chang-Shuai Li},
  journal= {arXiv preprint arXiv:1112.1363},
  year   = {2011}
}

Comments

23 pages,4 tables, 10 figures

R2 v1 2026-06-21T19:47:23.170Z