Communications for Statistical Applications and Methods

The Korean Statistical Society (한국통계학회)
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Long Memory Characteristics in the Korean Stock Market Volatility

  • Cho, Sinsup (Department of Statistics, Seoul National University) ;
  • Choe, Hyuk (College of Business Administration, Seoul National University) ;
  • Park, Joon Y (School of Economics, Seoul National University)
  • Published : 2002.12.01
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Abstract

For the estimation and test of long memory feature in volatilities of stock indices and individual companies semiparametric approach, Geweke and Porter-Hudak (1983), is employed. Empirical study supports the strong evidence of volatility persistence in Korean stock market. Most of indices and individual companies have the feature of long term dependence of volatility. Hence the short memory models are unable to explain the volatilities in Korean stock market.

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References

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