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Research Paper | Economics | India | Volume 3 Issue 7, July 2014
Long Memory Volatility of Stock Markets of India and China
Joshi Prashant Maheshchandra
The paper examines the existence of long memory in volatility of stock markets of India and China using FIGARCH models. The data set consists of daily return of BSE and SSE stock indices from January 1, 2009 to June 24, 2014 and long memory tests are carried out for the volatilities of these series. The results of FIGARCH model indicate strong evidence of long memory in conditional variance of the stock indices. The long memory property of the BSE market is revealed to be stronger than SSE.
Keywords: long memory, FIGARCH
Edition: Volume 3 Issue 7, July 2014
Pages: 1198 - 1200
How to Cite this Article?
Joshi Prashant Maheshchandra, "Long Memory Volatility of Stock Markets of India and China", International Journal of Science and Research (IJSR), https://www.ijsr.net/search_index_results_paperid.php?id=20141300, Volume 3 Issue 7, July 2014, 1198 - 1200