Long Memory in Asymmetric Volatility of Asean Exchange-Traded Funds

Malinda, Maya (2017) Long Memory in Asymmetric Volatility of Asean Exchange-Traded Funds. International Journal of Trade, Economics and Finance, 8 (2). pp. 1-5. ISSN 2010-023x

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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:	Index Terms—Long memory in volatility, asymmetric volatility, ASEAN ETF.
Subjects:	H Social Sciences > HG Finance
Divisions:	Fakultas Ekonomi > S-1 Manajemen
Depositing User:	admin LPPM
Date Deposited:	22 Feb 2018 01:58
Last Modified:	22 Feb 2018 01:58
URI:	http://repository.lppm.maranatha.edu/id/eprint/422

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