Dual long memory property in returns and volatility: Evidence from the CEE countries' stock markets

Kasman A., KASMAN S., TORUN E.

EMERGING MARKETS REVIEW, cilt.10, sa.2, ss.122-139, 2009 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 10 Sayı: 2
  • Basım Tarihi: 2009
  • Doi Numarası: 10.1016/j.ememar.2009.02.002
  • Dergi Adı: EMERGING MARKETS REVIEW
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.122-139
  • Anahtar Kelimeler: ARFIMA, FIGARCH, Long memory, CEEC's stock markets, FRACTIONAL-INTEGRATION, TERM-MEMORY, TIME-SERIES
  • Dokuz Eylül Üniversitesi Adresli: Evet

Özet

This paper investigates the presence of long memory in the eight Central and Eastern European (CEE) countries' stock market, using the ARFIMA, GPH, FIGARCH and HYGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of these series. The results of the ARFIMA and GPH models indicate the existence of long memory in five of eight return series. The results also suggest that long memory dynamics in the returns and volatility might be modeled by using the ARFIMA-FIGARCH and ARFIMA-HYGARCH models. The results of these models indicate strong evidence of long memory both in conditional mean and conditional variance. Moreover, the ARFIMA-FIGARCH model provides the better out-of-sample forecast for the sampled stock markets. (C) 2009 Elsevier B.V. All rights reserved.