British Journal of Marketing Studies (BJMS)

EA Journals

Forecasting Long Memory Processes Subject to Structural Breaks: Evidence from CAC40 and SP500 Stock Markets


We investigate the potential of structural changes and long memory properties in returns and volatility of the two major precious stock markets (SP500 and CAC40). Broadly speaking, a random variable is said to exhibit long memory behavior if its autocorrelation function is not integrable, while structural changes can induce sudden and significant shifts in the time-series behavior of that variable. The results from implementing several parametric and semi-parametric methods indicate strong evidence of long range dependence in the daily conditional return and volatility processes for the stock markets. Despite the divergence of the economic situation and the geographical positions of the countries making up our sample, the FIGARCH and FIEGARCH models mainly turn out to be the most accurate models for predicting the volatility of the stock market.

Keywords: : stock markets, fiegarch, forecasts

cc logo

This work by European American Journals is licensed under a Creative Commons Attribution-NonCommercial-NoDerivs 4.0 Unported License


Recent Publications

Email ID:
Impact Factor: 6.80
Print ISSN: 2053-4043
Online ISSN: 2053-4051

Author Guidelines
Submit Papers
Review Status


Scroll to Top

Don't miss any Call For Paper update from EA Journals

Fill up the form below and get notified everytime we call for new submissions for our journals.