Long Memory Analysis: An Empirical Investigation

Cilt: 4 Sayı: 1 1 Mart 2014
  • Rafik Nazarian
  • Esmaeil Naderi
  • Nadiya Gandali Alikhani
  • Ashkan Amiri
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Long Memory Analysis: An Empirical Investigation

Abstract

This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the purpose of the description of the observed persistence in the mean and volatility of a time series. The long memory feature in FIGARCH models makes them a better candidate than other conditional heteroskedasticity models for modeling volatility in financial series. ARFIMA model also has a considerable capacity for modeling the return behavior of these time series. The daily data related to Tehran Stock Exchange (TSE) index was used for the purpose of this study. Considering the fact that the existence of conditional heteroskedasticity effects were confirmed in the stock return series, robust regression technique was used for estimation of different ARFIMA models. Furthermore, different GARCH-type models were also compared. The results of ARFIMA model are indicative of the absence of long memory in return series of the TSE index and the results from FIGARCH model show evidence of long memory in conditional variance of this series.

Keywords

Ayrıntılar

Birincil Dil

İngilizce

Konular

-

Bölüm

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Yazarlar

Rafik Nazarian Bu kişi benim

Esmaeil Naderi Bu kişi benim

Nadiya Gandali Alikhani Bu kişi benim

Ashkan Amiri Bu kişi benim

Yayımlanma Tarihi

1 Mart 2014

Gönderilme Tarihi

1 Mart 2014

Kabul Tarihi

-

Yayımlandığı Sayı

Yıl 2014 Cilt: 4 Sayı: 1

Kaynak Göster

APA
Nazarian, R., Naderi, E., Alikhani, N. G., & Amiri, A. (2014). Long Memory Analysis: An Empirical Investigation. International Journal of Economics and Financial Issues, 4(1), 16-26. https://izlik.org/JA39XP43UT
AMA
1.Nazarian R, Naderi E, Alikhani NG, Amiri A. Long Memory Analysis: An Empirical Investigation. IJEFI. 2014;4(1):16-26. https://izlik.org/JA39XP43UT
Chicago
Nazarian, Rafik, Esmaeil Naderi, Nadiya Gandali Alikhani, ve Ashkan Amiri. 2014. “Long Memory Analysis: An Empirical Investigation”. International Journal of Economics and Financial Issues 4 (1): 16-26. https://izlik.org/JA39XP43UT.
EndNote
Nazarian R, Naderi E, Alikhani NG, Amiri A (01 Mart 2014) Long Memory Analysis: An Empirical Investigation. International Journal of Economics and Financial Issues 4 1 16–26.
IEEE
[1]R. Nazarian, E. Naderi, N. G. Alikhani, ve A. Amiri, “Long Memory Analysis: An Empirical Investigation”, IJEFI, c. 4, sy 1, ss. 16–26, Mar. 2014, [çevrimiçi]. Erişim adresi: https://izlik.org/JA39XP43UT
ISNAD
Nazarian, Rafik - Naderi, Esmaeil - Alikhani, Nadiya Gandali - Amiri, Ashkan. “Long Memory Analysis: An Empirical Investigation”. International Journal of Economics and Financial Issues 4/1 (01 Mart 2014): 16-26. https://izlik.org/JA39XP43UT.
JAMA
1.Nazarian R, Naderi E, Alikhani NG, Amiri A. Long Memory Analysis: An Empirical Investigation. IJEFI. 2014;4:16–26.
MLA
Nazarian, Rafik, vd. “Long Memory Analysis: An Empirical Investigation”. International Journal of Economics and Financial Issues, c. 4, sy 1, Mart 2014, ss. 16-26, https://izlik.org/JA39XP43UT.
Vancouver
1.Rafik Nazarian, Esmaeil Naderi, Nadiya Gandali Alikhani, Ashkan Amiri. Long Memory Analysis: An Empirical Investigation. IJEFI [Internet]. 01 Mart 2014;4(1):16-2. Erişim adresi: https://izlik.org/JA39XP43UT