Empirical Study on the Existence of Long-term Memory in TSE Returns

Document Type : applied


1 Allameh Tabataba'i University

2 allameh tabatabaee


Over the past few decades, long memory processes were assigned an essential part of the time series analysis. This feature changes the statistical behavior of estimations and predictions drastically. Consequently, many theoretical results and methodologies used in time series with short memory such as ARMA processes are not suitable for long memory models. Therefore, time series memory of Tehran Stock Exchange returns are estimated and interpreted in this paper. To do this, R/S, MRS, and GPH tests are used to estimate the fractional difference parameter. Test results show the existence of long memory in stock exchange returns series; therefore, long memory models should be used to estimate and forecast. Also the weak form of market efficiency hypothesis can be disaffirmed by using the results.
JEL: C16، G1، G14
How to cite this paper: Raoofi, A., & Mohammadi, T. (2018). Empirical Study on the Existence of Long-term Memory in TSE Returns. Quarterly Journal of Risk Modeling and Financial Engineering, 2(3), 397–424. (In Persian)


Main Subjects

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