Purpose The purpose of this paper is to explore whether stock index volatility series exhibit real long memory. Design/methodology/approach The authors employ sequential procedure to test structural break in volatility series, and use DFA and 2ELW to estimate long memory parameter for the whole samples and subsamples, and further apply adaptive FIGARCH (AFIGARCH) to describe long memory and structural break. Findings The empirical results show that stock index volatility series are characterized by long memory and structural break, and therefore it is appropriate to use AFIGARCH to model stock index volatility process. Originality/value This study empirically investigates the properties of long memory and structural break in stock index volatility series. The conclusion has a certain reference value for understanding the properties of long memory and structural break in volatility series for academic researchers, market participants and policy makers, and for modeling and forecasting future volatility, testing market efficiency, pricing financial assets, constructing quantitative investment strategy and measuring market risk.

中文翻译：

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长时间记忆还是结构性断裂？股市指数波动的经验证据

目的本文的目的是探讨股指波动率系列是否表现出真正的长期记忆。设计/方法/方法作者采用顺序过程来测试波动性序列中的结构破坏，并使用DFA和2ELW估计整个样本和子样本的长记忆参数，并进一步应用自适应FIGARCH（AFIGARCH）来描述长记忆和结构破坏。结果实证结果表明，股指波动序列具有较长的记忆性和结构性断裂特征，因此，使用AFIGARCH建模股指波动过程是合适的。独创性/价值这项研究通过实证研究了股指波动率序列中的长记忆和结构性破裂的性质。