文章基本信息

标题：Long Memory Behavior in the Returns of the Mexican Stock Market: Arfima Models and Value at Risk Estimation
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作者：Francisco López-Herrera ; Edgar Ortiz ; Raúl de Jesús 等
期刊名称：International Journal of Academic Research in Business and Social Sciences
电子版ISSN：2222-6990
出版年度：2012
卷号：2
期号：10
页码：113-132
出版社：Human Resource Management Academic Research Society
摘要：Models previously applied to the case of emerging markets have neglected to study the presence of long memory of asset returns taking into account autoregressive fractionally integrated models and different distribution alternatives. To analyze volatility and the persistence of long memory in the returns of the Mexican stock market, as well as to determine more efficient alternatives for VaR analysis, this work applies models from the ARCH family with autoregressive fractionally integrated moving average (ARFIMA) for the mean equation; these models are estimated under alternative assumptions of normal, student-t, and skewed student- t distributions of the error term. Backtestig is used to validate the efficiency of the alternative VaR estimates; these correspond to a one day ahead investment horizon. Daily returns data for the period January 1983 to December 2009 are used to carry out the corresponding econometric analysis.
关键词：Long Memory; VaR Analysis; Arfima modeling; Mexican Stock Market