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Long Memory Volatility and Temporal Aggregation in the High Frequency Data of Australian Stock Market

윤성민|강상훈
한국경제통상학회 (The Korean Economic and Business Association)|2010.09|경제연구 (Journal of Economics Studies)|제28권 제3호|pp. 219-251

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장기기억long memorymhigh frequency returnsS&P/ASX 200 indexstudent-t distributionFIGARCH고빈도 수익률자료S&P/ASX 200 지수Student-t 분포
주제분류경제학

초록

This article examines the nature of the long memory properties of Australian share index data using data of temporally-aggregated returns on the S&P/ASX 200 Index. In the examination we employ a fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model under the assumptions of normality and non-normality innovations. Our results indicate that the high frequency data of S&P/ASX 200 Index returns embody a long memory process. In addition, the observed long memory property is invariant to temporal aggregation of the intraday returns, implying that the data generation process of the S&P/ASX 200 Index returns has a self-similar or fractal structure.

Abstract

This article examines the nature of the long memory properties of Australian share index data using data of temporally-aggregated returns on the S&P/ASX 200 Index. In the examination we employ a fractionally integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model under the assumptions of normality and non-normality innovations. Our results indicate that the high frequency data of S&P/ASX 200 Index returns embody a long memory process. In addition, the observed long memory property is invariant to temporal aggregation of the intraday returns, implying that the data generation process of the S&P/ASX 200 Index returns has a self-similar or fractal structure.

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