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STS425 Arifah B. et al.
ACF squared returns
Squared returns 0.008 0.004 ACF 0.8 0.4
0.000 0.0
0 500 1000 1500 0 50 100 150 200
Lag
Time
Figure 2: Volatilities and ACF for X t , X t and X t 2 .
3.4 Parameters Estimation of the LMSV
X t ,
Detrended fluctuation analysis
Fluctuation function: F(t) 0.04 0.02
0.01
100
200
10 20 50 Scaling exponent estimate = 0.59
Window size: t
X t
Detrended fluctuation analysis
Fluctuation function: F(t) 0.05 0.02 0.01
10 20 50 Scaling exponent estimate = 0.68
100
200
Window size: t
2
X
t
Figure 3: DFA analysis for Long Memory Detection
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