The Tunisian stock market index volatility: Long memory vs. switching regime |
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| Institution: | 1. Quantitative Methods Department, Institut Supérieur de Gestion de Gabès, Université de Gabès, BP 75, ISG Gabès, rue Jilani Al Habib, 6000 Gabès, Tunisia;2. ESC de Tunis, Université de la Manouba, Manouba, Tunisia;3. Laboratoire BESTMOD, ISG de Tunis, Univesité de Tunis, Tunisia;2. Guilford Neurologic Research, Greensboro, NC, United States;3. Guilford Neurologic Associates, Greensboro, NC, United States;4. Cone Health Medical Group HeartCare, Greensboro, NC, United States;1. University of Alaska Fairbanks, 303 Tanana Loop, St. 201, Fairbanks, AK 99775, USA;2. East Carolina University, Department of Finance, 3127 Bate Building, Greenville, NC 27858-4353, USA;1. Cheung Kong Graduate School of Business, 3/F, Tower 3E, Oriental Plaza, 1 East Chang An Avenue, Beijing, 100738, PR China;2. Dalhousie University, Rowe School of Business, Room 4090, 6100 University Avenue, Halifax, Nova Scotia, B3H 4R2, Canada;3. Shanghai, PR China |
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| Abstract: | This paper investigates the dilemma of long memory versus a switching regime for the Tunisian stock market index volatility. Precisely, different specifications of the Fractionally Integrated GARCH (FIGARCH) model of Baillie et al. (1996) and Switching ARCH (SWARCH) model of Hamilton and Susmel (1994) have been estimated under both Gaussian and Student error distributions.The empirical results show that the Student FIGARCH(1,d,1) specification outperforms the Markov switching ARCH model. In addition, the empirical results indicate that the long memory behavior observed in the Tunisian stock price (TUNINDEX) volatility is a true behavior and is not spuriously created by changes in regimes. |
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