بررسي حافظه ي بلند بودن شاخص كل قيمت بورس اوراق بهادار تهران

Long-memory of Tehran Securities price index

In this paper we investigate long memory of Tehran Securities Price Index using daily data since 1382/1/5 until 1386/3/2. A long memory series means that the effects of shocks are persistent and remain for a x (] - lY x = e relatively long time. One can model the series { ʹ} as v } ʹ ʹ where €< ~ n(0,