The volatility model of the ASEAN Stock Indexes

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.

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Long memory volatility in Asian stock markets

Pacific Accounting Review ◽

10.1108/par-02-2016-0009 ◽

2017 ◽

Vol 29 (3) ◽

pp. 423-442 ◽

Cited By ~ 4

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.

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Long-term memory in Euronext stock indexes returns: an econophysics approach

Business and Economic Horizons ◽

10.15208/beh.2018.59 ◽

2018 ◽

Vol 14 (4) ◽

pp. 862-881

Author(s):

Luis M. P. Gomes ◽

Vasco J. S. Soares ◽

Silvio M. A. Gama ◽

Jose A. O. Matos

Keyword(s):

Long Term Memory ◽

Term Memory ◽

Stock Indexes

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

Behavioral and Brain Sciences ◽

10.1017/s0140525x15000928 ◽

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.

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

American Journal of Audiology ◽

10.1044/2020_aja-20-00018 ◽

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

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Retrieval from Memory or Procedural Strategies for Addition Problems

Swiss Journal of Psychology ◽

10.1024/1421-0185/a000036 ◽

2011 ◽

Vol 70 (1) ◽

pp. 35-39 ◽

Cited By ~ 3

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.

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The Acute Effect of Alcohol on Various Memory Processes

Journal of Psychophysiology ◽

10.1027/0269-8803/a000038 ◽

2010 ◽

Vol 24 (4) ◽

pp. 249-252 ◽

Cited By ~ 7

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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