Long memory volatility in Asian stock markets

2017 ◽  
Vol 29 (3) ◽  
pp. 423-442 ◽  
Author(s):  
Geeta Duppati ◽  
Anoop S. Kumar ◽  
Frank Scrimgeour ◽  
Leon Li
Keyword(s):  
Long Memory ◽  
Moving Average ◽  
Realized Volatility ◽  
Theory And Practice ◽  
Long Term Memory ◽  
Conditional Heteroscedasticity ◽  
Term Memory ◽  
Content Type ◽  
Autoregressive Conditional Heteroscedasticity

Purpose The purpose of this paper is to assess to what extent intraday data can explain and predict long-term memory. Design/methodology/approach This article analysed the presence of long-memory volatility in five Asian equity indices, namely, SENSEX, CNIA, NIKKEI225, KO11 and FTSTI, using five-min intraday return series from 05 January 2015 to 06 August 2015 using two approaches, i.e. conditional volatility and realized volatility, for forecasting long-term memory. It employs conditional-generalized autoregressive conditional heteroscedasticity (GARCH), i.e. autoregressive fractionally integrated moving average (ARFIMA)-FIGARCH model and ARFIMA-asymmetric power autoregressive conditional heteroscedasticity (APARCH) models, and unconditional volatility realized volatility using autoregressive integrated moving average (ARIMA) and ARFIMA in-sample forecasting models to estimate the persistence of the long-term memory. Findings Given the GARCH framework, the ARFIMA-APARCH long-memory model gave the better forecast results signifying the importance of accounting for asymmetric information when modelling volatility in a financial market. Using the unconditional realized volatility results from the Singapore and Indian markets, the ARIMA model outperforms the ARFIMA model in terms of forecast performance and provides reasonable forecasts. Practical implications The issue of long memory has important implications for the theory and practice of finance. It is well-known that accurate volatility forecasts are important in a variety of settings including option and other derivatives pricing, portfolio and risk management. Social implications It could be said that using long-memory augmented models would give better results to investors so that they could analyse the market trends in returns and volatility in a more accurate manner and reach at an informed decision. This is useful to minimize the risks. Originality/value This research enhances the literature by estimating the influence of intraday variables on daily volatility. This is one of very few studies that uses conditional GARCH framework models and unconditional realized volatility estimates for forecasting long-term memory. The authors find that the methods complement each other.

Forecasting the wind direction by using time series models with long-term memory (case study: Nayer region)

2020 ◽  
Vol ahead-of-print (ahead-of-print) ◽  
Author(s):  
Paria Soleimani ◽  
Bahareh Emami ◽  
Meysam Rafei ◽  
Hooman Shahrasbi
Keyword(s):  
Time Series ◽  
Wind Energy ◽  
Wind Direction ◽  
Fossil Fuels ◽  
Moving Average ◽  
Maximum Energy ◽  
Long Term Memory ◽  
Term Memory ◽  
Content Type

Purpose Today, because of the increasing need for the energy resources and the reduction of fossil fuels, renewable energy, especially wind energy, has attracted special attention. The precise forecasting of such energy will be the main factor in designing and investing in this field. On the other hand, the wind energy forecast provides the possibility of optimal use of available resources. In addition, the produce maximum energy would be possible by identifying wind direction and putting wind turbines in the best position. Design/methodology/approach Time series forecasting methods with long-term memory in this research have been used. Findings Eventually, the autoregressive fractionally integrated moving average (3,0,0)-FIGARCH (1,0,1) long-term memory model has more acceptable performance. The obtained error is based on the RMSE (0.2889) and the TIC (0.2605) values. Practical implications In this paper, the forecast wind direction belongs to Ardebil province and Nayer city in Iran. Originality/value The speed and direction of wind are variables that constantly change; hence, it will be difficult to predict the exact wind energy. In recent years, some studies have been conducted on wind speed forecasting, whereas wind direction forecasting has been done in a fewer number of studies. Most studies are related to low-lying areas. As the height of the wind turbine is directly related to the energy generation, 78 m height has been considered in this study.

scholarly journals The volatility model of the ASEAN Stock Indexes

2019 ◽  
Vol 16 (1) ◽  
pp. 226-238
Author(s):  
Faurani Santi Singagerda ◽  
Linda Septarina ◽  
Anuar Sanusi
Keyword(s):  
The Philippines ◽  
Long Term Memory ◽  
Conditional Heteroscedasticity ◽  
Term Memory ◽  
Asset Return ◽  
Stage Of Development ◽  
Volatility Model ◽  
Stock Indexes ◽  
Autoregressive Conditional Heteroscedasticity

This research study examines the characteristics of the Association of Southeast Asian Nations (ASEAN) volatility of stock indexes. The following models are used in this research: Generalized Autoregressive Conditional Heteroscedasticity (GARCH), Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH), Fractionally Integrated Generalized Autoregressive Conditional Heteroscedasticity (FIGARCH), Glosten Jaganathan Runkle Generalized Autoregressive Conditional Heteroscedasticity (GJR-GARCH), and Multifractal Model of Asset Return (MMAR). The research also used the data from the ASEAN country members’ (the Philippines, Indonesia, Malaysia, Singapore, and Thailand) stock indexes for the period from January 2002 until 31 January 2016 to determine the suitable model.Meanwhile, the results of the MMAR parameter showed that the returns of the countries have a characteristic called long-term memory. The authors found that the scaling exponents are associated with the characteristics of the specific markets including the ASEAN member countries and can be used to differentiate markets in their stage of development. Finally, the simulated data are compared with the original data by scaling function where most of the stock markets of the selected ASEAN countries have long-term memory with the scaling behavior of information asymmetry. Some of the countries such as the Philippines and Indonesia have their own alternative models using GARCH and EGARCH due to the possibility of leverage. Generally, MMAR is the best model for use in ASEAN market, because this model considered Hurst exponent as a parameter of long-term memory that indicates persistent behavior.

A study on volatility and return spillover of exchange-traded funds and their benchmark indices in India

2019 ◽  
Vol 46 (1) ◽  
pp. 19-39 ◽  
Author(s):  
Buvanesh Chandrasekaran ◽  
Rajesh H. Acharya
Keyword(s):  
Time Series Data ◽  
Moving Average ◽  
Series Data ◽  
Autoregressive Moving Average ◽  
Exchange Traded Funds ◽  
Volatility Spillover ◽  
Conditional Heteroscedasticity ◽  
Content Type ◽  
Autoregressive Conditional Heteroscedasticity ◽  
Practical Implications

Purpose The purpose of this paper is to empirically examine the volatility and return spillover between exchange-traded funds (ETFs) and their respective benchmark indices in India. The paper uses time series data which consist of equity ETF and respective index returns. Design/methodology/approach The study uses autoregressive moving average–generalized autoregressive conditional heteroscedasticity and autoregressive moving average–exponential generalized autoregressive conditional heteroscedasticity models. The study uses data from the inception date of each ETF to December 2016. Findings The findings of the paper confirm that there is unidirectional return spillover from the benchmark index to ETF returns in most of the ETFs. Furthermore, ETF and benchmark index return have volatility persistence and show the presence of asymmetric volatility wherein a negative news has more influence on volatility compared to a positive news. Finally, unlike unidirectional return spillover, there is a bidirectional volatility spillover between ETF and benchmark index return. Practical implications The study has several practical implications for investors and regulators. A positive daily mean return over a fairly long period of time indicates that the passive equity ETFs can be a viable long-term investment option for ordinary investors. A bidirectional volatility spillover between the ETFs and benchmark index returns calls for the attention of the market regulators to examine the reasons for the same. Originality/value ETFs have seen fast growth in the Indian market in recent years. The present study considers the longest period data possible.

scholarly journals A behavioral analysis of the volatility of interbank interest rates in developed and emerging countries

2017 ◽  
Vol 22 (42) ◽  
pp. 99-128 ◽  
Author(s):  
Nara Rossetti ◽  
Marcelo Seido Nagano ◽  
Jorge Luis Faria Meirelles
Keyword(s):  
Interest Rates ◽  
Moving Average ◽  
Good News ◽  
Macroeconomic Policies ◽  
Conditional Heteroscedasticity ◽  
Content Type ◽  
Factors Affecting ◽  
Asymmetric Garch ◽  
Auto Regressive ◽  
Autoregressive Conditional Heteroscedasticity

Purpose This paper aims to analyse the volatility of the fixed income market from 11 countries (Brazil, Russia, India, China, South Africa, Argentina, Chile, Mexico, USA, Germany and Japan) from January 2000 to December 2011 by examining the interbank interest rates from each market. Design/methodology/approach To the volatility of interest rates returns, the study used models of auto-regressive conditional heteroscedasticity, autoregressive conditional heteroscedasticity (ARCH), generalized autoregressive conditional heteroscedasticity (GARCH), exponential generalized autoregressive conditional heteroscedasticity (EGARCH), threshold generalized autoregressive conditional heteroscedasticity (TGARCH) and periodic generalized autoregressive conditional heteroscedasticity (PGARCH), and a combination of these with autoregressive integrated moving average (ARIMA) models, checking which of these processes were more efficient in capturing volatility of interest rates of each of the sample countries. Findings The results suggest that for most markets, studied volatility is best modelled by asymmetric GARCH processes – in this case the EGARCH – demonstrating that bad news leads to a higher increase in the volatility of these markets than good news. In addition, the causes of increased volatility seem to be more associated with events occurring internally in each country, as changes in macroeconomic policies, than the overall external events. Originality/value It is expected that this study has contributed to a better understanding of the volatility of interest rates and the main factors affecting this market.

scholarly journals Preferred Hexoses Influence Long-Term Memory in and Induction of Lactose Catabolism byStreptococcus mutans

2018 ◽  
Vol 84 (14) ◽  
Author(s):  
Lin Zeng ◽  
Lulu Chen ◽  
Robert A. Burne
Keyword(s):  
Molecular Mechanisms ◽  
Sugar Metabolism ◽  
Prior Exposure ◽  
Lag Phase ◽  
Long Term Memory ◽  
Term Memory ◽  
Content Type ◽  
Free Glucose ◽  
Lactose Utilization

ABSTRACTBacteria prioritize sugar metabolism via carbohydrate catabolite repression, which regulates global gene expression to optimize the catabolism of preferred substrates. Here, we report an unusual long-term memory effect in certainStreptococcus mutansstrains that alters adaptation to growth on lactose after prior exposure to glucose or fructose. In strain GS-5, cells that were first cultured on fructose and then transferred to lactose displayed an exceptionally long lag (>11 h) and slower growth compared to cells first cultured on glucose or cellobiose, which displayed a reduction in lag phase by as much as 10 h. When grown on lactose, mutants lacking the cellobiose-phosphotransferase (PTS) or phospho-β-glucosidase lost the accelerated growth associated with prior culturing on glucose. The memory effects of glucose or fructose on lactose catabolism were not as profound in strain UA159, but the lag phase was considerably shorter in mutants lacking the glucose-PTS EIIMan. Interestingly, whenS. mutanswas cultivated on lactose, significant quantities of free glucose accumulated in the medium, with higher levels found in the cultures of strains lacking EIIMan, glucokinase, or both. Free glucose was also detected in cultures that were utilizing cellobiose or trehalose, albeit at lower levels. Such release of hexoses byS. mutansis likely of biological significance as it was found that cells required small amounts of glucose or other preferred carbohydrates to initiate efficient growth on lactose. These findings suggest thatS. mutansmodulates the induction of lactose utilization based on its prior exposure to glucose or fructose, which can be liberated from common disaccharides.IMPORTANCEUnderstanding the molecular mechanisms employed by oral bacteria to control sugar metabolism is key to developing novel therapies for management of dental caries and other oral diseases. Lactose is a naturally occurring disaccharide that is abundant in dairy products and commonly ingested by humans. However, for the dental caries pathogenStreptococcus mutans, relatively little is known about the molecular mechanisms that regulate expression of genes required for lactose uptake and catabolism. Two peculiarities of lactose utilization byS. mutansare explored here: (i)S. mutansexcretes glucose that it cleaves from lactose, and (ii) prior exposure to certain carbohydrates can result in a long-term inability to use lactose. The study begins to shed light on howS. mutansmay utilize bet hedging to optimize its persistence and virulence in the human oral cavity.

Conceptual short-term memory (CSTM) supports core claims of Christiansen and Chater

2016 ◽  
Vol 39 ◽  
Author(s):  
Mary C. Potter
Keyword(s):  
Working Memory ◽  
Rapid Serial Visual Presentation ◽  
Language Comprehension ◽  
Short Term Memory ◽  
Visual Presentation ◽  
Long Term Memory ◽  
Short Term ◽  
Term Memory ◽  
Use Of Knowledge

AbstractRapid serial visual presentation (RSVP) of words or pictured scenes provides evidence for a large-capacity conceptual short-term memory (CSTM) that momentarily provides rich associated material from long-term memory, permitting rapid chunking (Potter 1993; 2009; 2012). In perception of scenes as well as language comprehension, we make use of knowledge that briefly exceeds the supposed limits of working memory.

Comparison of Auditory, Language, Memory, and Attention Abilities in Children With and Without Listening Difficulties

2020 ◽  
Vol 29 (4) ◽  
pp. 710-727
Author(s):  
Beula M. Magimairaj ◽  
Naveen K. Nagaraj ◽  
Alexander V. Sergeev ◽  
Natalie J. Benafield
Keyword(s):  
Auditory Processing ◽  
Short Term Memory ◽  
Group Differences ◽  
Long Term Memory ◽  
Short Term ◽  
Significant Group ◽  
Term Memory ◽  
Memory And Attention ◽  
Speed And Accuracy

Objectives School-age children with and without parent-reported listening difficulties (LiD) were compared on auditory processing, language, memory, and attention abilities. The objective was to extend what is known so far in the literature about children with LiD by using multiple measures and selective novel measures across the above areas. Design Twenty-six children who were reported by their parents as having LiD and 26 age-matched typically developing children completed clinical tests of auditory processing and multiple measures of language, attention, and memory. All children had normal-range pure-tone hearing thresholds bilaterally. Group differences were examined. Results In addition to significantly poorer speech-perception-in-noise scores, children with LiD had reduced speed and accuracy of word retrieval from long-term memory, poorer short-term memory, sentence recall, and inferencing ability. Statistically significant group differences were of moderate effect size; however, standard test scores of children with LiD were not clinically poor. No statistically significant group differences were observed in attention, working memory capacity, vocabulary, and nonverbal IQ. Conclusions Mild signal-to-noise ratio loss, as reflected by the group mean of children with LiD, supported the children's functional listening problems. In addition, children's relative weakness in select areas of language performance, short-term memory, and long-term memory lexical retrieval speed and accuracy added to previous research on evidence-based areas that need to be evaluated in children with LiD who almost always have heterogenous profiles. Importantly, the functional difficulties faced by children with LiD in relation to their test results indicated, to some extent, that commonly used assessments may not be adequately capturing the children's listening challenges. Supplemental Material https://doi.org/10.23641/asha.12808607

Retrieval from Memory or Procedural Strategies for Addition Problems

2011 ◽  
Vol 70 (1) ◽  
pp. 35-39 ◽  
Author(s):  
Muriel Fanget ◽  
Catherine Thevenot ◽  
Caroline Castel ◽  
Michel Fayol
Keyword(s):  
Reaction Times ◽  
Long Term Memory ◽  
Verbal Reports ◽  
Term Memory ◽  
Simple Addition ◽  
Memory Traces ◽  
Addition Problem ◽  
Retrieval From Memory ◽  
Calculation Procedures

In this study, we used a paradigm recently developed ( Thevenot, Fanget, & Fayol, 2007 ) to determine whether 10-year-old children solve simple addition problems by retrieval of the answer from long-term memory or by calculation procedures. Our paradigm is unique in that it does not rely on reaction times or verbal reports, which are known to potentially bias the results, especially in children. Rather, it takes advantage of the fact that calculation procedures degrade the memory traces of the operands, so that it is more difficult to recognize them when they have been involved in the solution of an addition problem by calculation rather than by retrieval. The present study sharpens the current conclusions in the literature and shows that, when the sum of addition problems is up to 10, children mainly use retrieval, but when it is greater than 10, they mainly use calculation procedures.

The Acute Effect of Alcohol on Various Memory Processes

2010 ◽  
Vol 24 (4) ◽  
pp. 249-252 ◽  
Author(s):  
Márk Molnár ◽  
Roland Boha ◽  
Balázs Czigler ◽  
Zsófia Anna Gaál
Keyword(s):  
Low Dose ◽  
Short Term Memory ◽  
Acute Effect ◽  
Long Term Memory ◽  
Term Memory ◽  
Memory Processes ◽  
Different Types ◽  
The Brain ◽  
Legal Consequences

This review surveys relevant and recent data of the pertinent literature regarding the acute effect of alcohol on various kinds of memory processes with special emphasis on working memory. The characteristics of different types of long-term memory (LTM) and short-term memory (STM) processes are summarized with an attempt to relate these to various structures in the brain. LTM is typically impaired by chronic alcohol intake but according to some data a single dose of ethanol may have long lasting effects if administered at a critically important age. The most commonly seen deleterious acute effect of alcohol to STM appears following large doses of ethanol in conditions of “binge drinking” causing the “blackout” phenomenon. However, with the application of various techniques and well-structured behavioral paradigms it is possible to detect, albeit occasionally, subtle changes of cognitive processes even as a result of a low dose of alcohol. These data may be important for the consideration of legal consequences of low-dose ethanol intake in conditions such as driving, etc.

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