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 index from the period 1998:09 to 2009:12. Various ARFIMA-G(ARCH)-type models have been taken into consideration to address this issue, which has led to several interesting...
