(RLS) model using the approach of Lu and Perron (2010) and Li and Perron (2013) for the volatility of daily stocks returns … suggest that the level shifts in the volatility of daily stocks returns data are infrequent but once they are taken into …Empirical research indicates that the volatility of stock return time series have long memory. However, it has been …

asset price volatility. We show how the squared low-frequency returns can be expressed in terms of the temporal aggregation … properties of the spectral density function of realized volatility series, constructed from squared returns with different … function of the squared low-frequency returns and that of the squared high-frequency returns. Furthermore, we analyze the …

Conditional Heteroscedasticity (FIEGARCH) model, often used for modeling long memory in volatility of financial assets. The newly …