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One-day-ahead value-at-risk estimations with dual long-memory models: evidence from the Tunisian stock market

In this paper, we assess the one-day-ahead Value-at-Risk (VaR) performance for the Tunisian Stock Market (TSE). Using the ARFIMA-FIGARCH and ARFIMA-FIAPARCH models under three alternative innovation distributions: normal, Student and skewed Student, we ...
Samir Mabrouk, Chaker Aloui
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Forecasting crude palm oil (CPO) prices with Arfima-Figarch method

AIP Conference Proceedings
Maulidya Maghfiro, Trianingsih Eni Lestari   +1 more
openaire   +3 more sources

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.
André M Marques
exaly   +2 more sources

Comparative Approach to the Backward Elimination and for-ward Selection Methods in Modeling the Systematic Risk Based on the ARFIMA-FIGARCH Model

2017
The present study aims to model systematic risk using financial and accounting variables. Accordingly, the data for 174 companies in Tehran Stock Exchange are extracted for the period of 2006 to 2016. First, the systematic risk index is estimated using the ARFIMA-FIGARCH model.
Rastgoo, Nemat, Panahian, Hossein
openaire   +1 more source

A novel time-varying FIGARCH model for improving volatility predictions

Physica A: Statistical Mechanics and Its Applications, 2022
Xuehui Chen, Xinru Zhang
exaly  

Stock Returns and Long-range Dependence

Global Business Review, 2022
Alexander Ayertey Odonkor
exaly  

Long Memory in Eastern European Financial Markets Returns

Economic Research-Ekonomska Istrazivanja, 2012
Ciprian Necula
exaly  

Modeling and predicting stock returns using the ARFIMA-FIGARCH

2009
P Bagavathi Sivakumar
exaly  

Modeling high-frequency volatility with three-state FIGARCH models

Economic Modelling, 2015
Yanlin Shi
exaly  

Bivariate FIGARCH and fractional cointegration

Journal of Empirical Finance, 2000
Celso Brunetti
exaly