IDEAS home Printed from
   My bibliography  Save this paper

Long-Range Dependence in Daily Volatility on Tunisian Stock Market


  • Chaker Aloui

    () (University of Tunis El Manar)


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.

Suggested Citation

  • Chaker Aloui, 2003. "Long-Range Dependence in Daily Volatility on Tunisian Stock Market," Working Papers 0340, Economic Research Forum, revised 12 2003.
  • Handle: RePEc:erg:wpaper:0340

    Download full text from publisher

    File URL:
    Download Restriction: no

    File URL:
    Download Restriction: no

    References listed on IDEAS

    1. Peter Hall & Wolfgang Härdle & Torsten Kleinow & Peter Schmidt, 2000. "Semiparametric Bootstrap Approach to Hypothesis Tests and Confidence Intervals for the Hurst Coefficient," Statistical Inference for Stochastic Processes, Springer, vol. 3(3), pages 263-276, October.
    2. Ding, Zhuanxin & Granger, Clive W. J. & Engle, Robert F., 1993. "A long memory property of stock market returns and a new model," Journal of Empirical Finance, Elsevier, vol. 1(1), pages 83-106, June.
    3. Bollerslev, Tim & Ole Mikkelsen, Hans, 1996. "Modeling and pricing long memory in stock market volatility," Journal of Econometrics, Elsevier, vol. 73(1), pages 151-184, July.
    4. Kwiatkowski, Denis & Phillips, Peter C. B. & Schmidt, Peter & Shin, Yongcheol, 1992. "Testing the null hypothesis of stationarity against the alternative of a unit root : How sure are we that economic time series have a unit root?," Journal of Econometrics, Elsevier, vol. 54(1-3), pages 159-178.
    5. Fama, Eugene F & French, Kenneth R, 1988. "Permanent and Temporary Components of Stock Prices," Journal of Political Economy, University of Chicago Press, vol. 96(2), pages 246-273, April.
    6. Perron, Pierre, 1988. "Trends and random walks in macroeconomic time series : Further evidence from a new approach," Journal of Economic Dynamics and Control, Elsevier, vol. 12(2-3), pages 297-332.
    7. Benoit Mandelbrot, 1963. "New Methods in Statistical Economics," Journal of Political Economy, University of Chicago Press, vol. 71, pages 421-421.
    8. Ernst R. Berndt & Bronwyn H. Hall & Robert E. Hall & Jerry A. Hausman, 1974. "Estimation and Inference in Nonlinear Structural Models," NBER Chapters,in: Annals of Economic and Social Measurement, Volume 3, number 4, pages 653-665 National Bureau of Economic Research, Inc.
    9. Andersson, Michael K. & Nydahl, Stefan, 1998. "Rational Bubbles and Fractional Alternatives," SSE/EFI Working Paper Series in Economics and Finance 266, Stockholm School of Economics.
    10. Bollerslev, Tim, 1986. "Generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 31(3), pages 307-327, April.
    11. Baillie, Richard T. & Bollerslev, Tim & Mikkelsen, Hans Ole, 1996. "Fractionally integrated generalized autoregressive conditional heteroskedasticity," Journal of Econometrics, Elsevier, vol. 74(1), pages 3-30, September.
    12. Patrick J. Wilson & John Okunev, 1999. "Long-Term Dependencies and Long Run non-Periodic Co-Cycles: Real Estate and Stock Markets," Journal of Real Estate Research, American Real Estate Society, vol. 18(2), pages 257-278.
    13. Erhard Reschenhofer & Benedikt M. Pötscher & Michael A. Hauser, 1999. "Measuring persistence in aggregate output: ARMA models, fractionally integrated ARMA models and nonparametric procedures," Empirical Economics, Springer, vol. 24(2), pages 243-269.
    14. French, Kenneth R. & Roll, Richard, 1986. "Stock return variances : The arrival of information and the reaction of traders," Journal of Financial Economics, Elsevier, vol. 17(1), pages 5-26, September.
    15. Batten, Jonathan & Ellis, Craig & Hogan, Warren, 2002. "Scaling the volatility of credit spreads: Evidence from Australian dollar eurobonds," International Review of Financial Analysis, Elsevier, vol. 11(3), pages 331-344.
    16. Ding, Zhuanxin & Granger, Clive W. J., 1996. "Modeling volatility persistence of speculative returns: A new approach," Journal of Econometrics, Elsevier, vol. 73(1), pages 185-215, July.
    17. Eugene F. Fama, 1965. "Portfolio Analysis in a Stable Paretian Market," Management Science, INFORMS, vol. 11(3), pages 404-419, January.
    18. Benoit Mandelbrot & Adlai Fisher & Laurent Calvet, 1997. "A Multifractal Model of Asset Returns," Cowles Foundation Discussion Papers 1164, Cowles Foundation for Research in Economics, Yale University.
    19. Andersson, Michael K., 1998. "On the Effects of Imposing or Ignoring Long Memory when Forecasting," SSE/EFI Working Paper Series in Economics and Finance 225, Stockholm School of Economics.
    20. Cheung, Yin-Wong & Lai, Kon S., 1995. "A search for long memory in international stock market returns," Journal of International Money and Finance, Elsevier, vol. 14(4), pages 597-615, August.
    Full references (including those not matched with items on IDEAS)


    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.

    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. Pyemo N. Afego, 2013. "Stock Price Response to Earnings Announcements: Evidence From the Nigerian Stock Market," Journal of African Business, Taylor & Francis Journals, vol. 14(3), pages 141-149, December.
    3. Goodness C. Aye & Mehmet Balcilar & Rangan Gupta & Nicholas Kilimani & Amandine Nakumuryango & Siobhan Redford, 2014. "Predicting BRICS stock returns using ARFIMA models," Applied Financial Economics, Taylor & Francis Journals, vol. 24(17), pages 1159-1166, September.

    More about this item


    Access and download statistics


    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:erg:wpaper:0340. See general information about how to correct material in RePEc.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Sherine Ghoneim). General contact details of provider: .

    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.

    If CitEc recognized a reference but did not link an item in RePEc to it, you can help with 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.

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

    IDEAS is a RePEc service hosted by the Research Division of the Federal Reserve Bank of St. Louis . RePEc uses bibliographic data supplied by the respective publishers.