Empirical Research on Double Long Memory of Chinese Stock Markets Return——Using ARFIMA-HYGARCH-skt Model Based on VaR Method
Guangxi Cao · Application of Statistics and Management · 2009
Taking account ofhigh Kurtosis and fat tailof daily returns of Chinese stock markets, skewed t distribution was introduced as errors distribution.Based on VaR method,ARFIMA(2,d_1,0)- HYGARCH(1,d_2,1)-skt model was used to empirical analyze daily returns of Chinese stock markets from December 17,1996 to July 5,2007.As empirical results shown,Shanghai and Shenzhen stock market all present strong double long memory,and the long memory of Shanghai stock market is stronger than Shenzhen stock market.The results also indicated that the ARFIMA(2,d_1,0)-HYGARCH(1,d_2,1)-skt model presented strong ability of VaR evaluation and forecast for Chinese stock markets.