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Keywords: AFIGARCH
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Journal Articles
Long memory or structural break? Empirical evidences from index volatility in stock market
Available to Purchase
Journal:
China Finance Review International
China Finance Review International (2019) 9 (3): 324–337.
Published: 07 December 2018
... parameter for the whole samples and subsamples, and further apply adaptive FIGARCH (AFIGARCH) to describe long memory and structural break. Findings The empirical results show that stock index volatility series are characterized by long memory and structural break, and therefore it is appropriate to use...
