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Journal of Emerging Market Finance
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Term Premium and Long-range Dependence in Volatility: A FIGARCH-M Estimation on Some Asian Countries

Sandrine Lardic

University of Paris, X-Nanrerre, modem-CNRS France

Valérie Mignon

University of Paris, X-nanrerre, THEMA-CNRS, UFR SEGMI, 200 avenue de la République, 92001 Nanterre Cedex, France

Recent events in financial markets put forward the relevance of a study relating to the Asian interest rate term premia volatility series. More specifically, our object is to test whether long-term dependent processes, such as FIGARCH ones, are appropriated for modelling volatility series. Results suggest that the considered Asian series of volatility are characterised by a strong dependent structure, which indicates that shocks to volatility have persistent consequences. Moreover, through the estimation of FIGARCH in mean processes, we show that the long-term component of volatility has an impact on term premia series.

Key Words: Term premium • long-term memory • FIGARCH in mean processes

Journal of Emerging Market Finance, Vol. 3, No. 1, 1-19 (2004)
DOI: 10.1177/097265270400300101
Add to CiteULike CiteULike   Add to Connotea Connotea   Add to Del.icio.us Del.icio.us   Add to Digg Digg   Add to Reddit Reddit   Add to Technorati Technorati    What's this?