Long memory and forecasting of EGX30

Alshaimaa Elwasify, Zaidi Isa

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Abstract

This paper examines the existence of long memory in the daily stock market EGX 30 index. The long memory of the series was investigated and a fractionally integrated autoregressive moving-average (ARFIMA) model was fitted using 3152 daily data (from June 20, 2004 to July 18, 2017). This paper shows the efficiency of several methods used to estimate fractional parameter in the ARFIMA model, long memory was investigated by Rescaled Range statistic (R/S), Aggregated variance, Higuchi and absolute moment and estimates has obtained by semi parametric methods such as GPH and modified GPH. The results indicate that the modified GPH outperformed the GPH.

Original languageEnglish
Title of host publication2018 UKM FST Postgraduate Colloquium
Subtitle of host publicationProceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium
EditorsNoor Hayati Ahmad Rasol, Kamarulzaman Ibrahim, Siti Aishah Hasbullah, Mohammad Hafizuddin Hj. Jumali, Nazlina Ibrahim, Marlia Mohd Hanafiah, Mohd Talib Latif
PublisherAmerican Institute of Physics Inc.
ISBN (Electronic)9780735418431
DOIs
Publication statusPublished - 27 Jun 2019
Event2018 UKM FST Postgraduate Colloquium - Selangor, Malaysia
Duration: 4 Apr 20186 Apr 2018

Publication series

NameAIP Conference Proceedings
Volume2111
ISSN (Print)0094-243X
ISSN (Electronic)1551-7616

Conference

Conference2018 UKM FST Postgraduate Colloquium
CountryMalaysia
CitySelangor
Period4/4/186/4/18

Fingerprint

forecasting
variance (statistics)
stock exchange
autoregressive moving average
stock market
estimates
statistics
moments
methodology
method
index
parameter

Keywords

  • ARFIMA
  • Forecasting
  • GPH
  • Long memory
  • Sperio

ASJC Scopus subject areas

  • Ecology, Evolution, Behavior and Systematics
  • Ecology
  • Plant Science
  • Physics and Astronomy(all)
  • Nature and Landscape Conservation

Cite this

Elwasify, A., & Isa, Z. (2019). Long memory and forecasting of EGX30. In N. H. A. Rasol, K. Ibrahim, S. A. Hasbullah, M. H. H. Jumali, N. Ibrahim, M. M. Hanafiah, & M. T. Latif (Eds.), 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium [020001] (AIP Conference Proceedings; Vol. 2111). American Institute of Physics Inc.. https://doi.org/10.1063/1.5111208

Long memory and forecasting of EGX30. / Elwasify, Alshaimaa; Isa, Zaidi.

2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. ed. / Noor Hayati Ahmad Rasol; Kamarulzaman Ibrahim; Siti Aishah Hasbullah; Mohammad Hafizuddin Hj. Jumali; Nazlina Ibrahim; Marlia Mohd Hanafiah; Mohd Talib Latif. American Institute of Physics Inc., 2019. 020001 (AIP Conference Proceedings; Vol. 2111).

Research output: Chapter in Book/Report/Conference proceedingConference contribution

Elwasify, A & Isa, Z 2019, Long memory and forecasting of EGX30. in NHA Rasol, K Ibrahim, SA Hasbullah, MHH Jumali, N Ibrahim, MM Hanafiah & MT Latif (eds), 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium., 020001, AIP Conference Proceedings, vol. 2111, American Institute of Physics Inc., 2018 UKM FST Postgraduate Colloquium, Selangor, Malaysia, 4/4/18. https://doi.org/10.1063/1.5111208
Elwasify A, Isa Z. Long memory and forecasting of EGX30. In Rasol NHA, Ibrahim K, Hasbullah SA, Jumali MHH, Ibrahim N, Hanafiah MM, Latif MT, editors, 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. American Institute of Physics Inc. 2019. 020001. (AIP Conference Proceedings). https://doi.org/10.1063/1.5111208
Elwasify, Alshaimaa ; Isa, Zaidi. / Long memory and forecasting of EGX30. 2018 UKM FST Postgraduate Colloquium: Proceedings of the Universiti Kebangsaan Malaysia, Faculty of Science and Technology 2018 Postgraduate Colloquium. editor / Noor Hayati Ahmad Rasol ; Kamarulzaman Ibrahim ; Siti Aishah Hasbullah ; Mohammad Hafizuddin Hj. Jumali ; Nazlina Ibrahim ; Marlia Mohd Hanafiah ; Mohd Talib Latif. American Institute of Physics Inc., 2019. (AIP Conference Proceedings).
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