Examining the Presence of Long Memory in Volatility, Nifty-50 and BSE Sensex Returns
Journal Title: International Journal of Business and Management Invention - Year 2018, Vol 7, Issue 1
Abstract
This paper tests the presence of long term memory in volatility, Nifty-50 and BSE Sensex returns. The objective of this study is to examine the potentially predictable component through presence of long memory in the return series and volatility dynamics. Findings would be beneficial for the investors, practitioners, academics and policy makers etc. The study has used Rescaled range analysis as proposed by Lo (1991) ‘Hurst Exponent’ to measure the presence of long memory in returns and volatility from January 2000 to December 2017. Evidence indicates that Sensex and Nifty-50 returns series exhibit long memory. However, volatility does not show any persistence but exhibit clustering.
Authors and Affiliations
Anju Bala, Dr. Kapil Gupta
Keywords
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