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Long Memory Persistence in the Factor of Implied Volatility Dynamics

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Figure

Figure 1: Factor Loading Time Series from Dynamic Semiparametric Model for Implied Volatility String Dynamics.
Figure 3: Plots of sample autocorrelation functions (lag length 300), spectrum and periodogram (in the log-log plane) of the factor loadings series.
Figure 4: Time series plots of the three factor loading series in absolute returns from 04.01.1999 − 25.02.2003 level m 2 3 5 7 10 20 50 z1 4.63 3.29 2.22 1.68 1.24 0.68 0.32 z2 3.77 2.89 1.99 1.54 1.15 0.65 0.31 z3 3.54 2.68 1.82 1.38 1.02 0.57 0.27 r t m
Table 3: t LobRob : Semiparametric test for I(0) of a time series against long- long-memory and antipersistence for factor loadings in levels, return (r t ) and ab-solute return (|r t |)
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