risk premium, as well as its volatility. The analysis applies fractional integration methods to data for the US, Germany … characterized as a random walk process, whilst its volatility is less persistent and exhibits stationary long-memory behaviour …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period … assumed to follow a white noise or autocorrelated process, it is confirmed by the rolling window estimation, and it holds for …

volatility (d = 0.80) is also confirmed. …