Long memory properties in return and volatility: Evidence from the Korean stock market

被引：46

作者：

Kanga, Sang Hoon

Yoon, Seong-Min ^{[1
]}

机构：

[1] Pukyong Natl Univ, Div Econ, Pusan 608737, South Korea

[2] Univ S Australia, Sch Commerce, Adelaide, SA 5001, Australia

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2007年 / 385卷 / 02期

关键词：

dual long memory; ARFIMA-FIGARCH; skewed student-t distribution; Korean stock market;

D O I：

10.1016/j.physa.2007.07.051

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

In this paper, we study the dual long memory property of the Korean stock market. For this purpose, the ARFIMA-FIGARCH model is applied to two daily Korean stock price indices (KOSPI and KOSDAQ). Our empirical results indicate that long memory dynamics in the returns and volatility can be adequately estimated by the joint ARFIMA-FIGARCH model. We also found that the assumption of a skewed Student-t distribution is better for incorporating the tendency of asymmetric leptokurtosis in a return distribution. (C) 2007 Elsevier B.V. All rights reserved.

引用

页码：591 / 600

页数：10

共 29 条

[1]

[Anonymous], 2002, APPL FINANCIAL EC, DOI DOI 10.1080/09603100010014041

[2] Fractionally integrated generalized autoregressive conditional heteroskedasticity [J].