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

Authors
Journal
Physica A Statistical Mechanics and its Applications
0378-4371
Publisher
Elsevier
Publication Date
Volume
387
Issue
21
Identifiers
DOI: 10.1016/j.physa.2008.05.050
Keywords
  • Fiaparch
  • High Frequency Returns
  • Kospi 200
  • Long Memory
  • Structural Break

Abstract

Abstract 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.

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