The computation of high frequency S&P 500 long-range dependence volatility using dynamic modified rescaled adjusted range approach

Chin Wen Cheong, Zaidi Isa, Tan Pei Pei, Lee Min Cherng

Research output: Contribution to journalArticle

2 Citations (Scopus)

Abstract

This study evaluates the time-varying long range dependence behaviors of the S&P 500 volatility, index using the modified rescaled adjusted range (R/S) statistic which takes into account the possible covariances of the lags in the data. Instead of a single estimation for the whole time span, the variations of the long range dependence are computed using the moving window rolling estimates approach. For a better computational result, a high frequency data set under the representation of bipower variation realized volatility is used to avoid possible abrupt jump. As for the empirical study, we have selected the period covered before and after the subprime mortgage crisis. The empirical results show that the long range dependence is influenced by the related economic events across the studied period. This time varying long range dependence analysis allow us to understand the informationally market efficiency before and after the subprime mortgage crisis.

Original languageEnglish
Pages (from-to)5915-5924
Number of pages10
JournalApplied Mathematical Sciences
Volume9
Issue number119
DOIs
Publication statusPublished - 2015

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Long-range Dependence
Volatility
Statistics
Economics
Range of data
Time-varying
Realized Volatility
Market Efficiency
High-frequency Data
Empirical Study
Statistic
Computational Results
Jump
Evaluate
Estimate
Crisis

Keywords

  • Long range dependence
  • Realized volatility
  • Rescaled adjusted range

ASJC Scopus subject areas

  • Applied Mathematics

Cite this

The computation of high frequency S&P 500 long-range dependence volatility using dynamic modified rescaled adjusted range approach. / Cheong, Chin Wen; Isa, Zaidi; Pei, Tan Pei; Cherng, Lee Min.

In: Applied Mathematical Sciences, Vol. 9, No. 119, 2015, p. 5915-5924.

Research output: Contribution to journalArticle

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