Volatility persistence in the Russian stock market
Keywords: 
RTSVX
RVI
Volatility
Persistence
Fractional integration
Long memory
Issue Date: 
2020
Publisher: 
Elsevier
Project: 
info:eu-repo/grantAgreement/AEI/Plan Estatal de Investigación Científica y Técnica y de Innovación 2013-2016/ECO2017-85503-R/ES/INTEGRACION FRACCIONAL, PROCESOS DE MEMORIA LARGA Y NO LINEALIDADES EN SERIES DE TIEMPO. EVIDENCIA EN LOS PAISES EN VIAS DE DESARROLLO
ISSN: 
1544-6123
Note: 
This is an open access article under the CC BY license (http://creativecommons.org/licenses/BY/4.0/).
Citation: 
Caporale, G.M. (Guglielmo M.); Gil-Alana, L.A. (Luis A.); Tripathy, T. (Trilochan). "Volatility persistence in the Russian stock market". Finance research letters. 32, 2020, 101216
Abstract
This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility indices (namely the originally created RTSVX and the new RVI that has replaced it) using daily data over the period 2010–2018. The empirical findings are consistent and imply in all cases that the two series are mean-reverting, i.e. they are not highly persistent and the effects of shocks disappear over time. This is true regardless of whether the errors are assumed to follow a white noise or autocorrelated process; this is confirmed by the rolling window estimation, and it holds for both subsamples, before and after the detected break. On the whole, it seems shocks do not have permanent effects on volatility in the Russian stock market.

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