Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Workplace-Name: Faculty of Economics Soka University, Japan.
Author-Name: Shelton Peiris
Author-Workplace-Name:
 School of Mathematics and Statistics University of Sydney, Australia.
Author-Name:
 Michael McAleer
Author-Workplace-Name:
 Department of Quantitative Finance National Tsing Hua University, Taiwan and Econometric Institute Erasmus School of 
	Economics Erasmus University Rotterdam, The Netherlands and Department of Quantitative Economics Complutense University of 
	Madrid, Spain And Institute of Advanced Sciences Yokohama National University, Japan.
Title: Realized Stochastic Volatility Models with Generalized Gegenbauer Long Memory
Abstract: In recent years fractionally differenced processes have received a great deal of attention due to their exibility in nancial 
	applications with long memory. In this paper, we develop a new realized stochastic volatility (RSV) model with general Gegenbauer long 
	memory (GGLM), which encompasses a new RSV model with seasonal long memory (SLM). The RSV model uses the information from returns and 
	realized volatility measures simultaneously. The long memory structure of both models can describe unbounded peaks apart from the 
	origin in the power spectrum. Forestimating the RSV-GGLM model, we suggest estimating the location parameters for the peaks of the 
	power spectrum in the rst step, and the remaining parameters based on the Whittle likelihood in the second step. We conduct Monte Carlo 
	experiments for investigating the nite sample properties of the estimators, with a quasi-likelihood ratio test of RSV-SLM model against 
	theRSV-GGLM model. We apply the RSV-GGLM and RSV-SLM model to three stock market indices. The estimation and forecasting results 
	indicate the adequacy of considering general long memory.
Classification-JEL: C18, C21, C58.
Keywords: Stochastic Volatility; Realized Volatility Measure; Long Memory; Gegenbauer Polynomial; Seasonality; Whittle Likelihood.
Length: 26 pages 
Creation-Date: 2017-11
Number: 2017-26
X-File-Ref: http://america.sim.ucm.es/repec/ucm/ref/doicae1726.txt
File-URL: https://eprints.ucm.es/id/eprint/45359/1/1726.pdf
File-Format: Application/pdf
Handle: RePEc:ucm:doicae:1726