Hiremath, Gourishankar S and Bandi, Kamaiah
(2010):
*Long Memory in Stock Market Volatility:Evidence from India.*
Published in: Artha Vijnana
, Vol. 52, No. 4
(2010): pp. 332-345.

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## Abstract

Long memory in variance or volatility refers to a slow hyperbolic decay in auto-correlation functions of the squared or log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The present paper examines the issue of long memory in volatility in the context of Indian stock market using the fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. For the purpose, daily values of 38 indices from both National Stock Exchange (NSE) and Bombay Stock Exchange (BSE) are used. The results of the study confirm presence of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in volatility than the conventional ARCH-GARCH models.

Item Type: | MPRA Paper |
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Original Title: | Long Memory in Stock Market Volatility:Evidence from India |

English Title: | Long Memory in Stock Market Volatility:Evidence from India |

Language: | English |

Keywords: | Fractional integration, Long memory, Volatility, FIGARCH, hyperbolic decay, Indian Stock Market, NSE, BSE. |

Subjects: | G - Financial Economics > G0 - General G - Financial Economics > G1 - General Financial Markets > G12 - Asset Pricing ; Trading Volume ; Bond Interest Rates G - Financial Economics > G1 - General Financial Markets > G14 - Information and Market Efficiency ; Event Studies ; Insider Trading G - Financial Economics > G1 - General Financial Markets > G17 - Financial Forecasting and Simulation |

Item ID: | 48519 |

Depositing User: | Gourishankar S. Hiremath |

Date Deposited: | 22 Jul 2013 13:47 |

Last Modified: | 26 Sep 2019 17:05 |

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URI: | https://mpra.ub.uni-muenchen.de/id/eprint/48519 |