Long-Range Dependence in Daily Volatility on Tunisian Stock Market - Economic Research Forum (ERF)

Long-Range Dependence in Daily Volatility on Tunisian Stock Market

Chaker Aloui


Date:
December, 2003

NO.
340

Length:
24 pages

Topic:
O1. Economic Development

The aim of this paper is to enfold the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our objective is to test whether long-term dependent processes are appropriate for modelling Tunisian stock market volatility. The empirical investigation has used the two Tunisian stock market indexes IBVMT and TUNINDEX for the period 1998 to 2004 in daily frequency. Through the estimation of FIGARCH processes, we show that the long-term component of volatility has an impact on the stock market return series.

Chaker Aloui


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