Long-Range Dependence in Daily Volatility on Tunisian Stock Market

Abstract

The aim of this paper is to surround the volatility dynamics on the Tunisian stock market via an approach founded on the detection of persistence phenomenon and long-term memory presence. More specifically, our object is to test whether long-term dependent processes are appropriated for modelling Tunisian stock market volatility. The empirical investigation has been driven on the two Tunisian stock market indexes IBVMT and TUNINDEX for the period (1998-2004) in daily frequency. Through the estimation of FIGARCH processes, we show that long-term component of volatility has an impact on stock market return series.

Keywords: Volatility, Long-term memory, Fractional integration, FIGARCH process

JEL Classification: C22, C52