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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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    5. Al-Shboul, Mohammad & Anwar, Sajid, 2016. "Fractional integration in daily stock market indices at Jordan's Amman stock exchange," The North American Journal of Economics and Finance, Elsevier, vol. 37(C), pages 16-37.
    6. Dejan Živkov & Jovan Njegić & Vera Mirović, 2016. "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, University of Economics, Prague, vol. 2016(6), pages 686-705.
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    8. Charfeddine, Lanouar & Khediri, Karim Ben, 2016. "Time varying market efficiency of the GCC stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 444(C), pages 487-504.
    9. Baruník, Jozef & Hlínková, Michaela, 2016. "Revisiting the long memory dynamics of the implied–realized volatility relationship: New evidence from the wavelet regression," Economic Modelling, Elsevier, vol. 54(C), pages 503-514.
    10. Charfeddine, Lanouar, 2014. "True or spurious long memory in volatility: Further evidence on the energy futures markets," Energy Policy, Elsevier, vol. 71(C), pages 76-93.
    11. Dejan Živkov & Jovan Njegić & Vera Mirović, . "Dynamic Nexus between Exchange Rate and Stock Prices in the Major East European Economies," Prague Economic Papers, University of Economics, Prague, vol. 0, pages 1-20.

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