¿Existe memoria larga en mercados bursátiles, o depende del modelo, periodo o frecuencia? (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

doi:10.29105/ensayos36.1-1

Authors

Héctor F. Salazar-Núñez Escuela Superior de Economía, Instituto Politécnico Nacional.
Francisco Venegas-Martínez Escuela Superior de Economía, Instituto Politécnico Nacional.
Cuahutémoc Calderón-Villareal Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

DOI:

https://doi.org/10.29105/ensayos36.1-1

Keywords:

Stock Markets, Long Memory, Time Series Econometric Models

Abstract

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.

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Author Biographies

Héctor F. Salazar-Núñez, Escuela Superior de Economía, Instituto Politécnico Nacional.

Escuela Superior de Economía, Instituto Politécnico Nacional.

Francisco Venegas-Martínez, Escuela Superior de Economía, Instituto Politécnico Nacional.

Escuela Superior de Economía, Instituto Politécnico Nacional.

Cuahutémoc Calderón-Villareal, Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

Departamento de Estudios Económicos, Colegio de la Frontera Norte, A.C.

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