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.
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