Camargo, Alejandro Islas; Martínez, Francisco Venegas - In: Economía Mexicana NUEVA ÉPOCA XII (2003) 1, pp. 103-134
This paper investigates the existence of long memory in the volatility of the Mexican stock market. We use a stochastic volatility (SV) model to derive statistical test for changes in volatility. In this case, estimation is carried out through the Kalman filter (KF) and the improved...