The Effect of Long Memory in Volatility on Stock Market Fluctuations
构建了股票收益与波动率的联合模型，发现波动率存在长记忆性，但波动率冲击对股价的影响小而短暂，尽管存在正的风险收益权衡。
Recent empirical evidence demonstrates the presence of an important long-memory component in realized asset return volatility. We specify and estimate multivariate models for the joint dynamics of stock returns and volatility that allow for long memory in volatility without imposing this property on returns. Asset pricing theory imposes testable cross-equation restrictions on the system that are not rejected in our preferred specifications, which include a strong financial leverage effect. We show that the impact of volatility shocks on stock prices is small and short lived, in spite of a positive risk-return tradeoff and long memory in volatility. Copyright by the President and Fellows of Harvard College and the Massachusetts Institute of Technology.