Long Memory Volatility of Stock Markets of India and China
Abstract: 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
How to Cite?: Joshi Prashant Maheshchandra, "Long Memory Volatility of Stock Markets of India and China", Volume 3 Issue 7, July 2014, International Journal of Science and Research (IJSR), Pages: 1198-1200, https://www.ijsr.net/getabstract.php?paperid=20141300, DOI: https://dx.doi.org/10.21275/20141300