Long memory (long-term dependence) of volatility counts as one of the ubiquitous stylized facts of financial data …

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 …

time diffusion models ; models with jumps ; stochastic volatility ; GARCH …