The Tunisian stock market index volatility: Long memory vs. switching regime
Lanouar Charfeddine () and
Ahdi Noomen Ajmi
Emerging Markets Review, 2013, vol. 16, issue C, 170-182
This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) have been estimated under both Gaussian and Student error distributions.
Keywords: Stock market returns; Volatility; Long memory model; Regime switching (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:ememar:v:16:y:2013:i:c:p:170-182
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