Modeling Long Memory in Chinese Stock Market Volatility
Zhang Qing-cui · Systems Engineering · 2004
In this paper, a new class of Fractionally Integrated Generalized AutoRegressive Conditionally Heteroskedastic(FIGARCH) model for characterizing financial market volatility is applied to test the long memory in Chinese stock market volatility. The empirical results illustrate that there is apparent long memory property in Chinese stock market volatility; The paper analyzes the advantage of FIGARCH model over other traditional conditional variant models from not only model describing but also forecasting.