In sum, the BVMT and TUNINDEX weekly and daily returns tend to be characterized by positive skewness, excess kurtosis and departure from normality.
As it is shown in the Table 5, the t statistic is negative and it is in lower tail of the standard normal distribution, we can conclude to the presence of long-memory in BVMT and TUNINDEX time series volatility.
Results in Table 6 indicate that only the BVMT daily and absolute returns display long-term memory for different weights suggested by Newey and West (1987).
Concerning the BVMT daily absolute returns, the results of the estimated degree of long-term memory range from 0.
Moreover, one notes a relative stability of the fractional integration parameter value for the BVMT daily volatility for the different sizes of the bandwidth vector.
There's also evidence that the BVMT volatility exhibit a long-range dependency phenomenon.
The investigation is conducted using the BVMT and TUNINDEX daily and weekly indexes during the period January 1998 till the end of April 2004.
The BVMT index has been published under its present shape on April first, 1998, with a base value of 465.