Results 1 to 10 of about 2,629 (114)
Cumhuriyet Science JournalThe research delved into analysing the stochastic characteristics of Nigeria's Real GDP, the exchange rate of the Naira to US Dollar, and the inflation rate employing Autoregressive fractionally integrated moving average (ARFIMA) and the Autoregressive ...
Ayoade Adewole
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Inflação inercial como um processo de longa memória: análise a partir de um modelo Arfima-Figarch [PDF]
Estudos Economicos, 2009 O objetivo principal deste estudo é investigar a dependência de longo prazo da inflação brasileira, descrevendo-a como um processo fracionariamente integrado tanto na média quanto na variância. A metodologia empregada baseia-se na estimação de um modelo ARFIMA-FIGARCH, capaz de detectar a presença de memória longa em altas defasagens de um processo ...
André M Marques
exaly +6 more sources
Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the ...
Hossein Abbasinejad +1 more
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INTERNATIONAL TOURISTS’ EXPENDITURES IN THAILAND: A MODELLING OF THE ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
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INTERNATIONAL TOURIST ARRIVALS IN THAILAND: FORECASTING WITH ARFIMA-FIGARCH APPROACH [PDF]
Annals of the University of Petrosani: Economics, 2010 Forecasting is an essential analytical tool for tourism policy andplanning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
KANCHANA CHOKETHAWORN +5 more
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Investment Management and Financial InnovationsInformational efficiency is a fundamental pillar of well-functioning financial markets, as it underlies informed investment decisions, effective risk management, and broader economic stability, particularly in emerging African markets, where inefficiencies are more likely to persist.
exaly +2 more sources
Journal of Basics and Applied Sciences ResearchCommodity prices in Nigeria exhibit long memory characteristics, which lead to high risk of price fluctuations. This study aims to model and forecast the impact of long memory on cereal prices index in Nigeria using a hybrid time series model. The data used for this study are secondary monthly CPI data obtained from the Central Bank of Nigeria (CBN ...
exaly +3 more sources
Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
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A Study of Nigeria Monthly Stock Price Index Using ARTFIMA-FIGARCH Hybrid Model
UMYU Scientifica Journal, 2023 Long memory is a phenomenon in time series analysis that is exhibited by a slow decay of the autocorrelation function. It has been observed that the presence of long memory in both mean and volatility can complicate model fitting and compromise ...
A G Umar, H G Dikko, J Garba, M Tasi’u
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Gaziantep Üniversitesi Sosyal Bilimler Dergisi, 2021 Bu çalışmada, Türkiye’nin 2010 – 2020 dönemine ait ülke Kredi Temerrüt Takası Primlerinin finansal zaman serisi olarak özellikleri araştırılmış, parametrik ve yarı parametrik ön testler uygulanmıştır.
Mustafa Çevik, Süleyman Serdar Karaca
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