Tan, Siow-Hooi; Khan, Mohammad Tariqul Islam - In: Economics Bulletin 30 (2010) 4, pp. 3267-3281
This study aims to investigate the existence of long memory in the Malaysian stock market utilizing daily stock price … this issue, which has led to several interesting conclusions. Firstly, the long memory property exists in both the return … specifications in terms of the long memory volatility processes. In summary, ARFIMA-FIAPARCH model is found to be the most …