Detalle Publicación

Volatility persistence in the Russian stock market

Autores: Caporale, G. M. (Autor de correspondencia); Gil Alaña, Luis Alberiko; Tripathy, T.
Título de la revista: FINANCE RESEARCH LETTERS
ISSN: 1544-6123
Volumen: 32
Fecha de publicación: 2020
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.