Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets
AbstractThis paper investigates the presence of long memory in the eight Central and Eastern European (CEE) countries' stock market, using the ARFIMA, GPH, FIGARCH and HYGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of these series. The results of the ARFIMA and GPH models indicate the existence of long memory in five of eight return series. The results also suggest that long memory dynamics in the returns and volatility might be modeled by using the ARFIMA-FIGARCH and ARFIMA-HYGARCH models. The results of these models indicate strong evidence of long memory both in conditional mean and conditional variance. Moreover, the ARFIMA-FIGARCH model provides the better out-of-sample forecast for the sampled stock markets.
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Bibliographic InfoArticle provided by Elsevier in its journal Emerging Markets Review.
Volume (Year): 10 (2009)
Issue (Month): 2 (June)
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Web page: http://www.elsevier.com/locate/inca/620356
ARFIMA FIGARCH Long memory CEEC's stock markets;
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- Ng, Andrew Cheuk-Yin & Li, Johnny Siu-Hang & Chan, Wai-Sum, 2011. "Modeling investment guarantees in Japan: A risk-neutral GARCH approach," International Review of Financial Analysis, Elsevier, vol. 20(1), pages 20-26, January.
- Guidi, Francesco & Ugur, Mehmet, 2012. "Are South East Europe stock markets integrated with regional and global stock markets?," MPRA Paper 44133, University Library of Munich, Germany, revised Dec 2012.
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