Real or spurious long memory characteristics of volatility: Empirical evidence from an emerging market


Yalama A., ÇELİK S.

ECONOMIC MODELLING, cilt.30, ss.67-72, 2013 (SSCI) identifier identifier

  • Yayın Türü: Makale / Tam Makale
  • Cilt numarası: 30
  • Basım Tarihi: 2013
  • Doi Numarası: 10.1016/j.econmod.2012.08.030
  • Dergi Adı: ECONOMIC MODELLING
  • Derginin Tarandığı İndeksler: Social Sciences Citation Index (SSCI), Scopus
  • Sayfa Sayıları: ss.67-72
  • Anahtar Kelimeler: Long memory, Fractal structure, Modified GPH, Emerging market, Volatility, FRACTAL STRUCTURE, TERM DEPENDENCE, MODELS
  • Eskişehir Osmangazi Üniversitesi Adresli: Hayır

Özet

We examine whether real or spurious long memory characteristics of volatility are present in stock market data. We empirically distinguish between true and spurious long memory characteristics by analysing different types and measurements of volatility, utilising different sampling frequencies and evaluating different financial markets. Because it is well known that long memory characteristics observed in data can be generated by either non-stationary structural breaks or slow regime-switching models, we additionally assess how the results of the analyses change during crisis periods by considering the effects of the US subprime mortgage crunch. The results support the presence of long memory characteristics that vary for diverse types and measurements of volatility, different financial markets, and distinct sampling periods, such as the pre-crisis and crisis periods. This result suggests that empirical investigations must be particularly careful in addressing long memory issues. (c) 2012 Elsevier B.V. All rights reserved.