Asymmetric and long memory volatility modelling for Asian equity markets

Abstract

The fractionally integrated asymmetric power autoregressive conditional heteroscedasticity model has successfully captured the empirical stylized facts such as the leverage effect, volatility power transformation and long memory in the foreign exchange markets. This study further explores the applicability of this model in the Asian equity markets. The findings of this empirical study are important in understanding the underlying data generating processes and informationally efficient market analysis.