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 …

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