Long-Range Dependence in Daily Volatility on Tunisian Stock Market

Chaker Aloui

No 340, Working Papers from Economic Research Forum

Abstract: The aim of this paper is to enfold the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our objective is to test whether long-term dependent processes are appropriate for modelling Tunisian stock market volatility. The empirical investigation has used the two Tunisian stock market indexes IBVMT and TUNINDEX for the period 1998 to 2004 in daily frequency. Through the estimation of FIGARCH processes, we show that the long-term component of volatility has an impact on the stock market return series.

Pages: 24 pages
Date: 2003-25-12, Revised 2003
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Published by The Economic Research Forum (ERF)

Downloads: (external link)
http://erf.org.eg/wp-content/uploads/2017/04/0340-final.pdf (application/pdf)
Our link check indicates that this URL is bad, the error code is: 404 Not Found (http://erf.org.eg/wp-content/uploads/2017/04/0340-final.pdf [301 Moved Permanently]--> https://erf.org.eg/wp-content/uploads/2017/04/0340-final.pdf)
http://bit.ly/2ppT5VV (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:erg:wpaper:0340

Access Statistics for this paper

More papers in Working Papers from Economic Research Forum Contact information at EDIRC.
Bibliographic data for series maintained by Namees Nabeel ().