Long memory and volatility persistence across BRICS stock markets

Abstract

This study aims to assess the persistence of volatility shocks and long memory in stock market returns and volatility in Brazil, Russia, India, China, and South Africa (BRICS), employing the GARCH, APARCH, ARFIMA, and FIGARCH models from January 2000 to November 2019. The results of GARCH confirm evidence of persistence in volatility shocks, while APARCH indicates the existence of leverage effects in all BRICS stock markets. The results of the ARFIMA and FIGARCH models offer significant indications of long-range dependence in the mean returns and volatility series, posing a challenge to the Efficient Market Hypothesis. The findings have implications for investors, traders, portfolio managers and policymakers who need to understand the varying behavior of stock returns and volatility across BRICS to make valid investment judgments before taking decisions.