NDLI: Modeling persistence and long memory under the impact of regime shifts in the PIGS stock markets

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Modeling persistence and long memory under the impact of regime shifts in the PIGS stock markets

Content Provider	Springer Nature Link
Author	Kumar, Dilip Maheswaran, S.
Copyright Year	2013
Abstract	This paper investigates the impact of regime shifts on the persistence and long memory characteristics of volatility from the vantage point of modeling volatility in the PIGS economies (Portugal, Italy, Greece, and Spain). We apply the AIT ICSS algorithm to identify the points of sudden changes in volatility and incorporate these sudden changes in the GARCH class of models (GARCH and FIGARCH models). Our findings indicate that when regime shifts in the unconditional variance are incorporated in the GARCH class of models, the estimated persistence and long memory fractional parameter in the volatility of returns exhibit a drastic decline. Furthermore, we find that sudden changes in the unconditional variance are largely associated with various macroeconomic events.
Starting Page	117
Ending Page	134
Page Count	18
File Format	PDF
ISSN	03040941
Journal	DECISION
Volume Number	40
Issue Number	1-2
e-ISSN	21971722
Language	English
Publisher	Springer India
Publisher Date	2013-10-15
Publisher Institution	Indian Institute of Management Calcutta
Publisher Place	India
Access Restriction	One Nation One Subscription (ONOS)
Subject Keyword	Volatility forecasting GARCH class of models Management/Business for Professionals ICSS algorithm Regime shifts Volatility persistence
Content Type	Text
Resource Type	Article

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