Long-range dependence in returns and volatility of Central European Stock Indices

Ladislav Krištoufek ()

No 2010/03, Working Papers IES from Charles University Prague, Faculty of Social Sciences, Institute of Economic Studies

Abstract: In the paper, we research on the presence of long-range dependence in returns and volatility of BUX, PX and WIG between years 1997 and 2009 with use of classical and modified rescaled range. Moving block bootstrap with pre-whitening and post-blackening is used for the construction of confidence intervals for the hypothesis testing. We show that there is no significant long-range dependence in returns of all examined indices. However, significant long-range dependence is detected in volatility of all three indices. The results for returns are contradictory with several studies which claim that developing markets are persistent. However, majority of these studies either do not use the confidence intervals at all or only the ones based on standard normal distribution. Therefore, the results of such studies should be reexamined and reinterpreted.

Keywords: long-range dependence; rescaled range; modified rescaled range; bootstrapping (search for similar items in EconPapers)
JEL-codes: C4 C5 G15 (search for similar items in EconPapers)
Pages: 14 pages
Date: 2010-02, Revised 2010-02
New Economics Papers: this item is included in nep-tra
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Citations: View citations in EconPapers (4)

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