Hyung, Namwon; Poon, Ser-Huang; Granger, Clive W. J. - Manchester Business School - 2004
The long memory characteristic of financial market volatility is well documentedand has important implications for … volatility forecasting and optionpricing. When fitted to the same data, different volatility models calculate theunconditional … variance differently and could have very different volatility persistentparameters. Hence, they produce very different …
