Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/185441
Authors: 
Caporale, Guglielmo Maria
Gil-Alaña, Luis A.
Tripathy, Trilochan
Year of Publication: 
2018
Series/Report no.: 
CESifo Working Paper No. 7243
Abstract: 
This paper applies a fractional integration framework to analyse the stochastic behaviour of two Russian stock market volatility índices (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, it is confirmed by the rolling window estimation, and it holds for both subsamples, before and after the detected break. On the whole, it seems that shocks do not have permanent effects on investor sentiment in the Russian stock market.
Subjects: 
RTSVX
RVI
volatility
persistence
fractional integration
long memory
JEL: 
C22
G12
Document Type: 
Working Paper

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