Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange
This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX series. Results of the GPH, GSP and ARFIMA model...
Main Authors: | Mohammad Donyaei, Alireza Daliri, Kashi Mansoor, Mohammad Javad Mohagheghnia |
---|---|
Format: | Article |
Language: | fas |
Published: |
Allameh Tabataba'i University Press
2015-01-01
|
Series: | Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī |
Subjects: | |
Online Access: | http://jims.atu.ac.ir/article_590_8785f29725fd8d19fd3fe345b4aede07.pdf |
Similar Items
-
Long Memory Analysis: An Empirical Investigation
by: Rafik Nazarian, et al.
Published: (2014-03-01) -
Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch
by: Erik Alencar de Figueiredo, et al.
Published: (2009-06-01) -
Multivariate FIGARCH and long memory process: evidence of oil price markets
by: Nadhem Selmi, et al.
Published: (2015-09-01) -
INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH
by: KANCHANA CHOKETHAWORN, et al.
Published: (2010-01-01) -
INTERNATIONAL TOURISTS’ EXPENDITURES IN THAILAND: A MODELLING OF THE ARFIMA-FIGARCH APPROACH
by: KANCHANA CHOKETHAWORN, et al.
Published: (2010-01-01)