Long Memory of NSE Indices
Published: 2011
Author(s) Name: C. V. R. S. Vijaya Kumar & Ashutosh Verma
Locked
Subscribed
Available for All
Abstract
Long range memory in share indices show temporal dependence between observations spaced by
long intervals of time and has distinct non-periodic cycles. This paper examines the presence of
long memory of various indices of National Stock Exchange (NSE). The data consists of closing
values of indices over different periods of time. The tests applied to examine long memory are
Hurst exponent, Manderbolt-Hurst exponent, Lo’s rescaled-range analysis and Geweke and
Porter-Hudak (GPH) test. The results of the estimated Hurst exponent, Manderbolt-Hurst
exponent and GPH test show that invariably all NSE indices series have long memory.
However, the results of Lo’s rescaled-range analysis indicate the absence of long memory for all indices.
Key words: Long memory, rescaled range analysis, fractional dimension, Hurst exponent, GPH
test, NSE indices
View PDF