Arfima-Figarch vs. Arfima-Hygarch: Case Study ETF Returns of Emerging Asian Countries

Abstract

This research investigate the long memory returns for ETF returns index of seven Asian countries in Emerging Markets Equities during 2008-2013 periods. Those ETFs are Wisdom Tree Indian Rupee Fund (ICN), Market Vectors Indonesia Index (IDX), iShares MSCI Malaysia Index Fund (EWM), Market Vectors Russia ETF (RSX), and iShares MSCI Thailand Investable Market Index Fund (THD), SPDR S&P China ETF (GXC), and Market Vectors Vietnam ETF (VNM). The ARFIMA, ARFIMA-FIGARCH, and ARFIMA-HYGARCH models were estimated. The empirical results of log-likelihood information criterion analyses, the statistics supports ARFIMA-HYGARCH model instead of ARFIMA and ARFIMA-FIGARCH models.