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Volatility behavior, information efficiency and risk in the S&P 500 index markets

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Table 5 further reveals that the permanent component of the GARCH conditional variance exhibits a high degree of persistence, with the autoregressive parametersTable 1
Figure 1. Daily stock price trend on the S&P500 (a) spot index, (b) futures index, and (c) E-mini futures index, September 1997 to August 2006.
Figure 2. Conditional time-varying jump intensity on the S&P500 (a) spot index, (b) index futures, and (c) E-mini futures, September 1997 to August 2006.
Figure 3. Jump variance and permanent and transitory components for the S&P 500 (a) spot index, (b) index futures, and (c) E-mini index futures, September 1997 to August 2006.

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