Friday, 29 Mar, 2024

+91-9899775880

011-47044510

011-49075396

Long Memory of NSE Indices

International Journal of Financial Management

Volume 1 Issue 1

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

Refund policy | Privacy policy | Copyright Information | Contact Us | Feedback © Publishingindia.com, All rights reserved