Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
978315 | Physica A: Statistical Mechanics and its Applications | 2010 | 9 Pages |
Abstract
In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B. From the results of our analysis, we can conclude that the volatility of Chinese stock markets exhibits long memory features, and that the assumption of non-normality provides better specifications regarding long memory volatility processes.
Related Topics
Physical Sciences and Engineering
Mathematics
Mathematical Physics
Authors
Sang Hoon Kang, Chongcheul Cheong, Seong-Min Yoon,