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Hiremath, Gourishankar S.
- Long Memory in Stock Market Volatility: Indian Evidences
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Authors
Affiliations
1 Gokhale Institute of Politics and Economics, BMCC Road, Pune 411004, IN
2 Department of Economics, University of Hyderabad, Hyderabad 500 046, IN
1 Gokhale Institute of Politics and Economics, BMCC Road, Pune 411004, IN
2 Department of Economics, University of Hyderabad, Hyderabad 500 046, IN
Source
Artha Vijnana: Journal of The Gokhale Institute of Politics and Economics, Vol 52, No 4 (2010), Pagination: 332-345Abstract
Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. Daily values of 38 indices from both National Stock Exchange and Bombay Stock Exchange are used. The results of the study confirm presence of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in volatility than the conventional ARCH-GARCH models.- On the Random Walk Characteristics of Stock Returns in India
Abstract Views :345 |
PDF Views:1
Authors
Affiliations
1 Department of Economics, University of Hyderabad, Hyderabad - 500046
2 Department of Economics, University of Hyderabad, Hyderabad - 500046, IN
1 Department of Economics, University of Hyderabad, Hyderabad - 500046
2 Department of Economics, University of Hyderabad, Hyderabad - 500046, IN