Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/175076
Authors: 
Caporale, Guglielmo Maria
Gil-Alana, Luis
Trani, Tommaso
Year of Publication: 
2018
Series/Report no.: 
DIW Discussion Papers 1719
Abstract: 
This paper applies long-memory techniques (both parametric and semi-parametric) to examine whether Brexit has led to any significant changes in the degree of persistence of the FTSE 100 Implied Volatility Index (IVI) and of the British pound's implied volatilities (IVs) vis-à-vis the main currencies traded in the FOREX, namely the euro, the US dollar and the Japanese yen. We split the sample to compare the stochastic properties of the series under investigation before and after the Brexit referendum, and find an increase in the degree of persistence in all cases except for the British pound-yen IV, whose persistence has declined after Brexit. These findings highlight the importance of completing swiftly the negotiations with the EU to achieve an appropriate Brexit deal.
Subjects: 
Brexit
uncertainty
IVI index
British pound's implied volatilities
financial markets
JEL: 
C22
F30
Document Type: 
Working Paper

Files in This Item:
File
Size
426.95 kB





Items in EconStor are protected by copyright, with all rights reserved, unless otherwise indicated.