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The Tunisian stock market index volatility: Long memory vs. switching regime

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  • Charfeddine, Lanouar
  • Ajmi, Ahdi Noomen

Abstract

This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) have been estimated under both Gaussian and Student error distributions.

Suggested Citation

  • Charfeddine, Lanouar & Ajmi, Ahdi Noomen, 2013. "The Tunisian stock market index volatility: Long memory vs. switching regime," Emerging Markets Review, Elsevier, vol. 16(C), pages 170-182.
    • Handle: RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182
    DOI: 10.1016/j.ememar.2013.05.003
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