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• W2092277820 abstract "Purpose – The main purpose of this paper is to examine the asymmetry and long memory properties in the volatility of the stock indices of the PIIGS economies (Portugal, Ireland, Italy, Greece and Spain).Design/methodology/approach – The paper utilizes the wavelets approach (based on Haar, Daubechies‐4, Daubechies‐12 and Daubechies‐20 wavelets) and the GARCH class of models (namely, ARFIMA (p,d′,q)‐GARCH (1,1), IGARCH (1,1), FIGARCH (1,d,0), FIGARCH (1,d,1), EGARCH (1,1) and FIEGARCH (1,d,1)) to accomplish the desired goals.Findings – The findings provide evidence in support of the presence of long range dependence in the various proxies of volatility of the PIIGS economies. The results from the wavelet approach also support the Taylor effect in the volatility proxies. The results show that ARFIMA (p,d′,q)‐FIGARCH (1,d,0) model specification is better able to capture the long memory property of conditional volatility than the conventional GARCH and IGARCH models. In addition, the ARFIMA (p,d′,q)‐FIEGARCH (..." @default.
• W2092277820 created "2016-06-24" @default.
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• W2092277820 date "2013-02-15" @default.
• W2092277820 modified "2023-09-27" @default.
• W2092277820 title "Asymmetric long memory volatility in the PIIGS economies" @default.
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• W2092277820 doi "https://doi.org/10.1108/14757701311295818" @default.
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