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

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...

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Bibliographic Details
Published inPhysica A Vol. 385; no. 2; pp. 591 - 600
Main Authors Kang, Sang Hoon, Yoon, Seong-Min
Format Journal Article
LanguageEnglish
Published Elsevier B.V 15.11.2007
Subjects
ARFIMA–FIGARCH
Dual long memory
Korean stock market
Skewed Student- [formula omitted] distribution
Dual long memory
Skewed Student- t distribution
89.65.Gh
ARFIMA–FIGARCH
Korean stock market
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Summary: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.
ISSN:0378-4371
1873-2119
DOI:10.1016/j.physa.2007.07.051