Research on volatility persistence and co-persistence in stochastic volatility model
Han Li · Journal of systems engineering · 2002
Volatility persistence, which have been found in many of time series of economic and finance, indicates that the risk is dependent each other.Based on the conception and properties of stochastic volatility (SV) model,discuss the persistence in SV model from the point view of the integration. Moreover, the persistence and co persistence in vector stochastic volatility model is investigated and the co persistence theorem is presented. In this paper, further consider the properties and conditions of co persistence relationship and give the error correction model of co persistence.