LONG-MEMORY OF TEHRAN SECURITIES PRICE INDEX

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ERFANI A.R.

مرکز اطلاعات علمی Scientific Information Database (SID) - Trusted Source for Research and Academic Resources

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Paper Information

Journal: JOURNAL OF THE FACULTY OF HUMANITIES AND SOCIAL SCIENCES Year:2008 | Volume:8 | Issue:28 Page(s): 77-92

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Information Journal Paper

Title

LONG-MEMORY OF TEHRAN SECURITIES PRICE INDEX

Author(s)

ERFANI A.R. | Issue Writer Certificate

Keywords

LONG MEMORYQ3

RESEALED RANGE ANALYSISQ3

MODIFIED RESEALED RANGEQ3

DETRUDED FLUCTUATION ANALYSISQ3

Abstract

In this paper we investigate LONG MEMORY of Tehran Securities Price Index using daily data since 1382/1/5 until 1386/312.A LONG MEMORY series means that the effects of shocks are persistent and remain for a relatively long time. One can model the series {X1} as (1- L)dx, = e1, where e1 ~ N(0,s2) (white noise) and L is the lag operator. If 0< d < 1, the series has LONG MEMORY. If 0 < d < 0/5, the variance of series is finite and the series is stationary, and if 0/5 £ d < 1, the variance of series is infinite and the series is nonstationary. We calculate the differencing parameter, d, using three well- known methods. The value of d yield from resealed range (R/S) method is 0.49, and yield from MODIFIED RESEALED RANGE (MRS) method is 0.468, and yield from detruded fluctuations analysis (DFA) method is 0.3. The results show that the three methods confirm the LONG MEMORY of underlying series.

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APA: Copy

ERFANI, A.R.. (2008). LONG-MEMORY OF TEHRAN SECURITIES PRICE INDEX. JOURNAL OF THE FACULTY OF HUMANITIES AND SOCIAL SCIENCES, 8(28), 77-92. SID. https://sid.ir/paper/391458/en

Vancouver: Copy

ERFANI A.R.. LONG-MEMORY OF TEHRAN SECURITIES PRICE INDEX. JOURNAL OF THE FACULTY OF HUMANITIES AND SOCIAL SCIENCES[Internet]. 2008;8(28):77-92. Available from: https://sid.ir/paper/391458/en

IEEE: Copy

A.R. ERFANI, “LONG-MEMORY OF TEHRAN SECURITIES PRICE INDEX,” JOURNAL OF THE FACULTY OF HUMANITIES AND SOCIAL SCIENCES, vol. 8, no. 28, pp. 77–92, 2008, [Online]. Available: https://sid.ir/paper/391458/en

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