LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE

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KASHI M.; DONYAEI M.; AHMADI R.

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Journal: FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES) Year:2015 | Volume:7 | Issue:24 Page(s): 11-24

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Title

LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE

Author(s)

KASHI M. | DONYAEI M. | AHMADI R. | Issue Writer Certificate

Keywords

LONG -TERM MEMORYQ2

MODIFIED GPHQ3

LEVEL SHIFTSQ3

Abstract

Always one of the concerns of researchers in the study of time series, the long-term memory and whether the observed long memory series is affected by LEVEL SHIFTS or not? To avoid spurious long memory that may be caused by levels shifts, different methods have been tested. In the present article, we will review it for return and volatility (Are two approaches: First approach: GARCH and ARMA-GARCH-filtered series. Second approach: GARCH-filtered-squared series and squared returns) based on MODIFIED GPH of smith (2005). The results indicate that long memory in return series TEPIX is accepted by the GPH but MODIFIED GPH test (Bandwidth choice for classic GPH and MODIFIED GPH are based on Plug-in and ) leads to the rejection of the existence of long memory. Then, using the first approach, the presence of long memory is demonstrated by the GPH. But MODIFIED GPH denies its existence, which reflects the impact of LEVEL SHIFTS to long-term memory. The second approach about how to volatility infer the existence of long memory is demonstrated by both tests. It followed that the predictability of the market as possible and Weak form efficiency would violate the Tehran Stock Exchange.

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APA: Copy

KASHI, M., DONYAEI, M., & AHMADI, R.. (2015). LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), 7(24), 11-24. SID. https://sid.ir/paper/200326/en

Vancouver: Copy

KASHI M., DONYAEI M., AHMADI R.. LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE. FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES)[Internet]. 2015;7(24):11-24. Available from: https://sid.ir/paper/200326/en

IEEE: Copy

M. KASHI, M. DONYAEI, and R. AHMADI, “LONG-TERM MEMORY AND LEVEL SHIFTS: APPLICATION OF THE MODIFIED GPH TEST IN TEHRAN STOCK EXCHANGE,” FINANCIAL KNOWLEDGE OF SECURITY ANALYSIS (FINANCIAL STUDIES), vol. 7, no. 24, pp. 11–24, 2015, [Online]. Available: https://sid.ir/paper/200326/en

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