Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?

• Main Authors: Héctor F. Salazar-Núñez, Francisco Venegas-Martínez, Cuahutémoc Calderón-Villareal
• Format: Article
• Language: English
• Published: Universidad Autónoma de Nuevo León, Facultad de Economía 2017-04-01
• Series: Ensayos Revista de Economía
• Subjects: Mercados bursátiles; Memoria larga; Métodos econométricos de series de tiempo
• Online Access: http://ensayos.uanl.mx/index.php/ensayos/article/view/4

This paper analyses the existence of long memory in the major stock markets in the world, and if this is the case, whether it’s due to the type of econometric models used, the period of study or the frequency of data (intraday, daily, weekly, etc.)? To do this, we perform a comparative analysis between the empirical results of ARFIMA and GARCH models. The stock markets that showed consistent results of long memory, regardless of the method, the period and the frequency were China and South Korea. The first one exhibits long memory, and the other a short one.