Kang, Sang Hoon; Yoon, Seong-Min - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 21, pp. 5189-5196
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 …