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 returns. Interestingly, the presence of long memory...