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

被引：39

作者：

Kang, Sang Hoon ^{[2
]}

Yoon, Seong-Min ^{[1
]}

机构：

[1] Pusan Natl Univ, Dept Econ, Pusan 609735, South Korea

[2] Pukyong Natl Univ, Div Econ, Pusan 608737, South Korea

来源：

PHYSICA A-STATISTICAL MECHANICS AND ITS APPLICATIONS | 2008年 / 387卷 / 21期

关键词：

FIAPARCH; high frequency returns; KOSPI; 200; long memory; structural break;

D O I：

10.1016/j.physa.2008.05.050

中图分类号：

O4 [物理学];

学科分类号：

0702 ;

摘要：

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. (C) 2008 Elsevier B.V. All rights reserved.

引用

页码：5189 / 5196

页数：8

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