  This paper demonstrates the flaws of co-persistence theory proposed by
Bollerslev and Engle (1993) which cause the theory can hardly be applied. With
the introduction of the half-life of decay coefficient as the measure of the
persistence, and both the weak definition of persistence and co-persistence in
variance, this study attempts to solve the problems by using exhaustive search
algorithm for obtaining co-persistent vector. In addition, this method is
illustrated to research the co-persistence of stock return volatility in 10
European countries.
