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Long-Range Dependence in Daily Volatility on Tunisian Stock Market

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  • Chaker Aloui

Abstract

The aim of this paper is to enfold the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our objective is to test whether long-term dependent processes are appropriate for modelling Tunisian stock market volatility. The empirical investigation has used the two Tunisian stock market indexes IBVMT and TUNINDEX for the period 1998 to 2004 in daily frequency. Through the estimation of FIGARCH processes, we show that the long-term component of volatility has an impact on the stock market return series.

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Bibliographic Info

Paper provided by Economic Research Forum in its series Working Papers with number 0340.

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Date of creation: Dec 2003
Date of revision: Dec 2003
Publication status: Published by The Economic Research Forum (ERF)
Handle: RePEc:erg:wpaper:0340

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Cited by:
  1. Sabur Mollah & Asma Mobarek, 2009. "Market volatility across countries – evidence from international markets," Studies in Economics and Finance, Emerald Group Publishing, vol. 26(4), pages 257-274, October.
  2. Afego, Pyemo, 2011. "Stock Price Response to Earnings Announcements: Evidence from the Nigerian Stock Market," MPRA Paper 33931, University Library of Munich, Germany, revised 16 May 2011.
  3. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2012. "Predicting BRICS Stock Returns Using ARFIMA Models," Working Papers 201235, University of Pretoria, Department of Economics.

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