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Journals
Management Dynamics in the Knowledge Economy
Volume 10 (2022): Issue 4 (December 2022)
Open Access
Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
Yassine Benzai
Yassine Benzai
,
Hadjar Soumia Aouad
Hadjar Soumia Aouad
and
Nassima Djellouli
Nassima Djellouli
| Jan 14, 2023
Management Dynamics in the Knowledge Economy
Volume 10 (2022): Issue 4 (December 2022)
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Published Online:
Jan 14, 2023
Page range:
376 - 390
Received:
Aug 15, 2022
Accepted:
Nov 20, 2022
DOI:
https://doi.org/10.2478/mdke-2022-0024
Keywords
Algerian exchange rate market
,
EMH
,
random walk
,
ARMA-FIGARCH
,
out-of-sample forecasting
© 2022 Yassine Benzai et al., published by Sciendo
This work is licensed under the Creative Commons Attribution-NonCommercial-NoDerivatives 4.0 International License.
Yassine Benzai
University of Dr Moulay Tahar Saida,
Hadjar Soumia Aouad
University of Dr. Moulay Tahar Saida,
Nassima Djellouli
University of Dr. Moulay Tahar Saida,