Long Memory Behavior in the Returns of Pakistan Stock Market: ARFIMA-FIGARCH Models
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student- t an...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
EconJournals
2014-03-01
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| Series: | International Journal of Economics and Financial Issues |
| Online Access: | http://mail.econjournals.com/index.php/ijefi/article/view/784 |