Based on these results, ARFIMA-FIGARCH model is applied to Shenzhen and Shanghai indices, and estimations of parameters indicate no long memory in return series.

• 基于长记忆的检验结果，本文对我国深圳成指和上证综指日收益序列采用ARFIMA-FIGARCH模型检验收益的长记忆并拟合波动的动态结构，参数估计结果表明收益序列无长记忆。