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

Listed author(s):
  • Charfeddine, Lanouar
  • Ajmi, Ahdi Noomen

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.

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File URL: http://www.sciencedirect.com/science/article/pii/S1566014113000393
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Article provided by Elsevier in its journal Emerging Markets Review.

Volume (Year): 16 (2013)
Issue (Month): C ()
Pages: 170-182

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Handle: RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182
DOI: 10.1016/j.ememar.2013.05.003
Contact details of provider: Web page: http://www.elsevier.com/locate/inca/620356

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