Open AccessLong Memory Modeling: Evidence From Mediterranean Stock Indexes
Author(s) -
Saoussan Bouchareb,
Mohammed Salah Chiadmi,
Fouzia Ghaiti
Publication year - 2021
Publication title -
wseas transactions on systems and control/wseas transactions on systems and control
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 0.174
H-Index - 16
eISSN - 2224-2856
pISSN - 1991-8763
DOI - 10.37394/23203.2021.16.52
Subject(s) - autoregressive fractionally integrated moving average , volatility (finance) , long memory , stock (firearms) , econometrics , economics , turkish , financial economics , stock market , monetary economics , geography , linguistics , philosophy , context (archaeology) , archaeology
We study in this paper the presence of long memory of four Mediterranean stock markets namely Morocco, Turkey, Spain, and France, over the period 2000-2020. The presence of long memory propriety has tested by using the R/S analysis approach. Results show that the four processes have a long memory. furthermore, ARFIMA-FIGARCH, under different distribution assumptions as Normal, Student-t, and Skewed Student- t, was estimated in order to test the feature of long memory in the return and volatility of the stock markets simultaneously. Results show strong evidence of long memory in both returns and volatility for the Moroccan and French stock markets and only in volatility for The Spanish and Turkish ones. The long memory in returns indicates that their behavior is predictable implying the rejection of the efficient market hypothesis. The long memory in volatility shows that risk is an important parameter of the behavior of the future returns in the four stock markets.