Volatility of Stock-Market Indexes—An Analysis Based on SEMIFAR Models
应用SEMIFAR模型分析全球股票市场指数波动性的长记忆性，发现波动性存在随机长程依赖或确定性趋势，有时两者并存，表明长记忆性比平稳模型所显示的更强更系统。
By applying SEMIFAR models, we examine “long memory” in the volatility of worldwide stock-market indexes. Our analysis yields strong evidence of “long memory” in stock-market volatility, either in terms of stochastic long-range dependence or in the form of deterministic trends. In some cases, both components are detected in the data. Thus, at least partially, there appears to be even stronger and more systematic long memory than suggested by a stationary model with long-range dependence.