The Tunisian stock market index volatility: Long memory vs. switching regime

This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) have been estimated under both Gaussian and Student error distributions.

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Year of publication:	2013
Authors:	Charfeddine, Lanouar ; Ajmi, Ahdi Noomen
Published in:	Emerging Markets Review. - Elsevier, ISSN 1566-0141. - Vol. 16.2013, C, p. 170-182
Publisher:	Elsevier
Subject:	Stock market returns \| Volatility \| Long memory model \| Regime switching

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10010682549