Long memory features in the high frequency data of the Korean stock market

This paper examines the long memory property in the high frequency data of KOSPI 200 using the FIAPARCH model. The empirical results indicate that the FIAPARCH model can capture asymmetry and long memory in the volatility of intraday KOSPI 200 returns. Interestingly, the presence of long memory is invariant to the temporally aggregated intraday returns, implying that a long memory phenomenon is an inherent characteristic of the data generating process, not a result of structural breaks.