IDEAS home Printed from https://ideas.repec.org/a/ids/ijsuse/v7y2015i4p280-305.html
   My bibliography  Save this article

Long memory properties on Tunisian sectorial stock market index volatilities: evidence from FIEGARCH model

Author

Listed:
  • Mohamed Fakhfekh
  • Ahmed Jeribi
  • Nejib Hachicha

Abstract

We investigate the impact of Tunisian revolution on two fundamental features of stock index returns, namely, the long memory, the asymmetric and leverage effects. Firstly, we apply the ICSS procedure to identify the eventual existence of structural breaks in volatility and secondly, we use the fractionally integrated exponential GARCH (FIEGARCH) which estimates a direct shock-persistence as well as a shock asymmetric volatility measurement. Applied to the daily returns relevant to nine sectorial stock indices and to the benchmark Tunisian index, our findings suggest that shock impact on construction, raw materials and financial service index volatility returns proves to be permanent during the revolution period, while its persistence in the other indices is found to be transitory. The leverage effect is negative, but our achieved results revealed a lower leverage effect in all indices. These results seem to be very important since the Tunisian revolution has a very important effect on the Tunisian stock exchange.

Suggested Citation

  • Mohamed Fakhfekh & Ahmed Jeribi & Nejib Hachicha, 2015. "Long memory properties on Tunisian sectorial stock market index volatilities: evidence from FIEGARCH model," International Journal of Sustainable Economy, Inderscience Enterprises Ltd, vol. 7(4), pages 280-305.
    • Handle: RePEc:ids:ijsuse:v:7:y:2015:i:4:p:280-305
    as

    Download full text from publisher

    File URL: http://www.inderscience.com/link.php?id=72201
    Download Restriction: Access to full text is restricted to subscribers.
    ---><---

    As the access to this document is restricted, you may want to search for a different version of it.

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:ids:ijsuse:v:7:y:2015:i:4:p:280-305. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    We have no bibliographic references for this item. You can help adding them by using this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Sarah Parker (email available below). General contact details of provider: http://www.inderscience.com/browse/index.php?journalID=301 .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.