Malinda, Maya (2017) Long Memory in Asymmetric Volatility of Asean Exchange-Traded Funds. International Journal of Trade, Economics and Finance, 8 (2). pp. 78-82.
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Abstract
This research applied closing price return for ASEAN ETFs. Comparing the long memory in volatility and asymmetric volatility of ASEAN ETFs, this research used four models, fractional autoregressive integrated moving average (ARFIMA), a hybrid of ARFIMA and fractionally integrated generalized autoregressive conditional heteroscedasticity (ARFIMA-FIGARCH), ARFIMA with fractionally integrated asymmetric power autoregressive conditional heteroscedasticity (ARFIMA-FIAPARCH) and ARFIMA with hyperbolic generalized autoregressive conditional heteroscedasticity (ARFIMA-HYGARCH) models. The results show that by using closing price return data samples ASEAN ETF have a long memory in volatility and negative asymmetric volatility. ARFIMA-FIAPARCH model perform better to investigate long memory in volatility and asymmetric volatility for ASEAN ETF. This findings can be evaluated by academicians, financial risk managers, investors, and regulators.
| Item Type: | Article |
|---|---|
| Uncontrolled Keywords: | Terms—Long memory in volatility, asymmetric volatility, ASEAN ETF. |
| Subjects: | H Social Sciences > H Social Sciences (General) |
| Divisions: | Faculty of Economics > 52 Management Department |
| Depositing User: | Perpustakaan Maranatha |
| Date Deposited: | 10 Jan 2019 02:29 |
| Last Modified: | 02 Dec 2021 22:56 |
| URI: | http://repository.maranatha.edu/id/eprint/25230 |
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