market indices are analysed: DAX30 (Germany), FTSE100 (UK), CAC40 (France), FTSE MIB40 (Italy) and IBEX35 (Spain). In all …

volatility índices (namely the originally created RTSVX and the new RVI that has replaced it), using daily data over the period …

particularly interested in volatility modelling and forecasting given their importance for FOREX dealers. Compared with previous … ; volatility …

This paper examines the degree of persistence in the volatility of financial time series using a Long Memory Stochastic … Volatility (LMSV) model. Specifically, it employs a Gaussian semiparametric (or local Whittle) estimator of the memory parameter … volatility has a component of long- memory behaviour, the order of integration ranging between 0.3 and 0.5, the series being …

data ; long memory ; volatility persistence ; structural breaks …