Advertisement

Empirical Economics

, Volume 29, Issue 3, pp 477–488 | Cite as

Long memory in volatilities of German stock returns

  • Philipp SibbertsenEmail author
Article

Abstract.

We show that there is strong evidence of long-range dependence in the volatilities of several German stock returns. This will be done by applying a method using the difference of the classical log-periodogram regression estimator for the memory parameter and of the tapered periodogram based estimator. Both estimators give similar values for the memory parameter for each series and this indicates long memory. To support our findings we apply also a methodology using the sample variance and a wavelet based estimator to the data. Also these two methods show clear evidence of long-range dependence in the volatilities of German stock returns.

Key words

Long memory volatilities log-periodogram estimation 

JEL classification

C14 C22 

Preview

Unable to display preview. Download preview PDF.

Unable to display preview. Download preview PDF.

Copyright information

© Springer-Verlag 2004

Authors and Affiliations

  1. 1.Fachbereich StatistikUniversität DortmundDortmundGermany

Personalised recommendations