Long memory features in the high frequency data of the Korean stock market

This paper examines the long memory property in the high frequency data of KOSPI 200 using the FIAPARCH model. The empirical results indicate that the FIAPARCH model can capture asymmetry and long memory in the volatility of intraday KOSPI 200 returns. Interestingly, the presence of long memory is i...

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Bibliographic Details
Published inPhysica A Vol. 387; no. 21; pp. 5189 - 5196
Main Authors Kang, Sang Hoon, Yoon, Seong-Min
Format Journal Article
LanguageEnglish
Published Elsevier B.V 01.09.2008
Subjects
FIAPARCH
High frequency returns
KOSPI 200
Long memory
Structural break
FIAPARCH
KOSPI 200
Long memory
89.65.Gh
High frequency returns
Structural break
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Summary:This paper examines the long memory property in the high frequency data of KOSPI 200 using the FIAPARCH model. The empirical results indicate that the FIAPARCH model can capture asymmetry and long memory in the volatility of intraday KOSPI 200 returns. Interestingly, the presence of long memory is invariant to the temporally aggregated intraday returns, implying that a long memory phenomenon is an inherent characteristic of the data generating process, not a result of structural breaks.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2008.05.050