We extend the fractionally integrated exponential GARCH (FIEGARCH) model for daily stock return data with long memory …-in-mean effect is significant, and the FIEGARCH-M model outperforms the original FIEGARCH model and alternative GARCH …

. Models with dynamic of Geometric Brownian Motion are adopted, multivariate GARCH models are also introduced to capture the … risk is insignificant for both markets if GARCH models are adopted. …