Working Paper


John Cotter



risk management aparch long memory analysis of variance futures mathematical models process modelling volatility modelling high frequency futures

Uncovering long memory in high frequency UK futures (2004)

Abstract Accurate volatility modelling is paramount for optimal risk management practices. One stylized feature of financial volatility that impacts the modelling process is long memory explored in this paper for alternative risk measures, observed absolute and squared returns for high frequency intraday UK futures. Volatilityseries for three different asset types, using stock index, interest rate and bondfutures are analysed. Long memory is strongest for the bond contract. Longmemory is always strongest for the absolute returns series and at a power transformation of k < 1. The long memory findings generally incorporate intradayperiodicity. The APARCH model incorporating seven related GARCH processes generally models the futures series adequately documenting ARCH, GARCH and leverage effects.
Collections Ireland -> University College Dublin -> School of Business
Ireland -> University College Dublin -> Centre for Financial Markets Working Papers
Ireland -> University College Dublin -> College of Business

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John Cotter

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John Cotter
University College Dublin
Total Publications: 93