Author/Authors
URAL, Mert Dokuz Eylul University - Faculty of Economics and Administrative Sciences - Department of Economics, Turkey , KÜÇÜKÖZMEN, C. Coşkun Izmir University of Economics - Faculty of Economics and Administrative Sciences - Department of International Trade and Finance, Turkey
Title Of Article
Analyzing the Dual Long Memory in Stock Market Returns
شماره ركورد
44299
Abstract
The purpose of this study is to examine the dual long memory properties for five stock market returns by using joint ARFIMA-FIGARCH model and structural break test in context of weak form efficient market hypothesis. The models are estimated by using daily closing prices for S P500, FTSE100, DAX, CAC40 and ISE100. In an effort to assess the impact of structural breaks in volatility persistence, the breaks in variance are detected by using the Iterated Cumulative Sums of Squares (ICSS) algorithm, and dummy variables are incorporated to the models. Empirical findings show that the dual long memory exists for all stock markets. Also the volatility has a predictable structure and indicates that all stock markets are weak form inefficient. Further, it is found that incorporating information on structural breaks in variance improves the accuracy of estimating volatility dynamics and effectively reduces the persistence of volatility.
From Page
19
NaturalLanguageKeyword
Long memory , ARFIMA , FIGARCH , structural break , ICSS , stock return volatility , volatility shifts , volatility persistence
JournalTitle
Ege Academic Review (EAR)
To Page
28
JournalTitle
Ege Academic Review (EAR)
Link To Document