International Journal of Financial Management

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Long Memory of NSE Indices


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1 Associate Professors, Indian Institute of Forest Management (IIFM), Nehru Nagar, Bhopal
     

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Long range memory in share indices show temporal dependence between observations spaced by long intervals of time and has distinct non-periodic cycles. This paper examines the presence of long memory of various indices of National Stock Exchange (NSE). The data consists of closing values of indices over different periods of time. The tests applied to examine long memory are Hurst exponent, Manderbolt-Hurst exponent, Lo's rescaled-range analysis and Geweke and Porter-Hudak (GPH) test. The results of the estimated Hurst exponent, Manderbolt-Hurst exponent and GPH test show that invariably all NSE indices series have long memory. However, the results of Lo's rescaled-range analysis indicate the absence of long memory for all indices.

Keywords

Long Memory, Rescaled Range Analysis, Fractional Dimension, Hurst Exponent, GPH test, NSE Indices
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  • Long Memory of NSE Indices

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Authors

C. V. R. S. Vijaya Kumar
Associate Professors, Indian Institute of Forest Management (IIFM), Nehru Nagar, Bhopal
Ashutosh Verma
Associate Professors, Indian Institute of Forest Management (IIFM), Nehru Nagar, Bhopal

Abstract


Long range memory in share indices show temporal dependence between observations spaced by long intervals of time and has distinct non-periodic cycles. This paper examines the presence of long memory of various indices of National Stock Exchange (NSE). The data consists of closing values of indices over different periods of time. The tests applied to examine long memory are Hurst exponent, Manderbolt-Hurst exponent, Lo's rescaled-range analysis and Geweke and Porter-Hudak (GPH) test. The results of the estimated Hurst exponent, Manderbolt-Hurst exponent and GPH test show that invariably all NSE indices series have long memory. However, the results of Lo's rescaled-range analysis indicate the absence of long memory for all indices.

Keywords


Long Memory, Rescaled Range Analysis, Fractional Dimension, Hurst Exponent, GPH test, NSE Indices

References