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Long memory properties in return and volatility: Evidence from the Korean stock market
Authors:Sang Hoon Kang
Institution:a School of Commerce, University of South Australia, Adelaide, South Australia 5001, Australia
b Division of Economics, Pukyong National University, Busan 608-737, Republic of Korea
Abstract:In this paper, we study the dual long memory property of the Korean stock market. For this purpose, the ARFIMA-FIGARCH model is applied to two daily Korean stock price indices (KOSPI and KOSDAQ). Our empirical results indicate that long memory dynamics in the returns and volatility can be adequately estimated by the joint ARFIMA-FIGARCH model. We also found that the assumption of a skewed Student-t distribution is better for incorporating the tendency of asymmetric leptokurtosis in a return distribution.
Keywords:89  65  Gh
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