Long memory properties in return and volatility: Evidence from the Korean stock market
Sang Hoon Kang and
Seong-Min Yoon ()
Physica A: Statistical Mechanics and its Applications, 2007, vol. 385, issue 2, 591-600
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.
Keywords: Dual long memory; ARFIMA–FIGARCH; Skewed Student-t distribution; Korean stock market (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:eee:phsmap:v:385:y:2007:i:2:p:591-600
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