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Long memory volatility in Chinese stock markets

Author

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  • Kang, Sang Hoon
  • Cheong, Chongcheul
  • Yoon, Seong-Min

Abstract

In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B. From the results of our analysis, we can conclude that the volatility of Chinese stock markets exhibits long memory features, and that the assumption of non-normality provides better specifications regarding long memory volatility processes.

Suggested Citation

  • Kang, Sang Hoon & Cheong, Chongcheul & Yoon, Seong-Min, 2010. "Long memory volatility in Chinese stock markets," Physica A: Statistical Mechanics and its Applications, Elsevier, vol. 389(7), pages 1425-1433.
    • Handle: RePEc:eee:phsmap:v:389:y:2010:i:7:p:1425-1433
    DOI: 10.1016/j.physa.2009.12.004
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