Persistence in the Russian Stock Market Volatility Indices

20 Pages Posted: 31 Oct 2018

See all articles by Guglielmo Maria Caporale

Guglielmo Maria Caporale

Brunel University London - Department of Economics and Finance; London South Bank University; CESifo (Center for Economic Studies and Ifo Institute); German Institute for Economic Research (DIW Berlin)

Luis A. Gil-Alana

University of Navarra - Department of Economics

Trilochan Tripathy

XLRI – Xavier School of Management

Date Written: 2018

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.

Keywords: RTSVX, RVI, volatility, persistence, fractional integration, long memory

JEL Classification: C220, G120

Suggested Citation

Caporale, Guglielmo Maria and Gil-Alana, Luis A. and Tripathy, Trilochan, Persistence in the Russian Stock Market Volatility Indices (2018). CESifo Working Paper No. 7243, Available at SSRN: https://ssrn.com/abstract=3275417

Guglielmo Maria Caporale (Contact Author)

Brunel University London - Department of Economics and Finance ( email )

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London South Bank University ( email )

Centre for Monetary and Financial Economics
London
United Kingdom

CESifo (Center for Economic Studies and Ifo Institute)

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Munich, DE-81679
Germany

German Institute for Economic Research (DIW Berlin) ( email )

Mohrenstraße 58
Berlin, 10117
Germany

Luis A. Gil-Alana

University of Navarra - Department of Economics ( email )

Campus de Arrosadia
Pamplona, 31006
Spain

Trilochan Tripathy

XLRI – Xavier School of Management ( email )

Jamshedpur 831001, Jharkhand
India

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