Overlaying Time Scales and Persistence Estimation of Financial Volatility Data

Keywords

Mean reversion, Volatility (finance), Econometrics, Autoregressive conditional heteroskedasticity, Economics

References

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• Estimating Regression Models with Multiplicative HeteroscedasticityAndrew Harvey — 1976
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• What good is a volatility model?Robert F. Engle, Andrew J. Patton — 2001
• COMMON PERSISTENCE IN CONDITIONAL VARIANCESTim Bollerslev, Robert F. Engle — 1993

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