Is there Long Memory in Stock Markets, or Does it Depend on the Model, Period or Frequency?

Héctor F. Salazar-Núñez, Francisco Venegas-Martínez, Cuahutémoc Calderón-Villareal


This paper analyses the existence of long memory in the major stock markets in the world, and if this is the case, whether it’s due to the type of econometric models used, the period of study or the frequency of data (intraday, daily, weekly, etc.)? To do this, we perform a comparative analysis between the empirical results of ARFIMA and GARCH models. The stock markets that showed consistent results of long memory, regardless of the method, the period and the frequency were China and South Korea. The first one exhibits long memory, and the other a short one.


Stock Markets; Long Memory; Time Series Econometric Models


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    Ensayos Revista de Economía, Vol. 37, No. 1, Mayo 2018, es una publicación semestral editada por la Universidad Autónoma de Nuevo León, a través de la Facultad de Economía con la colaboración del Centro de Investigaciones Económicas, Av. Lázaro Cárdenas 4600 Ote., Fracc. Residencial Las Torres, Monterrey, N.L. C.P. 64930. Tel. +52 (81) 8329 4150 Ext. 2463 Fax. +52 (81) 8342 2897. Editor Responsable: Edgar M. Luna, Reserva de Derechos al Uso Exclusivo No. 04-2015-091013542400-203, ISSN 2448-8402, ambos otorgados por el Instituto Nacional del Derecho de Autor. Responsable de la última actualización de este Número: M.C. Hans Y. Martinez Torres, Facultad de Economía, UANL, Av. Lázaro Cárdenas 4600 Ote., Fracc. Residencial Las Torres, Monterrey, N.L. C.P. 64930. Tel. +52 (81) 8329 4150. Fecha última de actualización 25 de abril de 2018.

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