(a) EGX 30
(b) MOD1 ()
(c) MOD2 ()
Figure 6: The autocorrelation functions of raw and absolute returns, respectively, for (a) the EGX 30, (b) the MOD1, and (c) the MOD2. From Panel (a), the EGX 30 raw returns show autocorrelation coefficients that are not significant for almost all lags except for the first lag. However, the absolute return time series reveal autocorrelation coefficients that are significant for up to 100 lags. In Panels (a) and (b), furthermore, the raw returns display autocorrelation coefficients that are not significant for up to 100 lags while the absolute returns show significant long memory effects for more than 60.