Estimation of stochastic volatility with long memory for index prices of FTSE Bursa Malaysia KLCI

• Main Authors: Chen, Kho Chia, Bahar, Arifah, Kane, Ibrahim Lawal, Ting, Chee-Ming, Abd. Rahman, Haliza
• Format: Conference or Workshop Item
• Published: 2014
• Subjects: QA Mathematics
• Online Access: http://eprints.utm.my/id/eprint/63484/; http://dx.doi.org/10.1063/1.4907427
• Institution: Universiti Teknologi Malaysia

In recent years, modeling in long memory properties or fractionally integrated processes in stochastic volatility has been applied in the financial time series. A time series with structural breaks can generate a strong persistence in the autocorrelation function, which is an observed behaviour of a...