Fractional Integration in Corporate Social Responsibility Indices: A FIGARCH and HYGARCH Approach
Asian Economic and Financial Review, 2019 This research focuses on studying the return and volatility of CSR indices. Four models namely ARFIMA, ARFIMA-GARCH, ARFIMA-FIGARCH and ARFIMA-HYGARCH were applied to investigate the long-memory process in these indices. This paper provides investors with knowledge of CSR indices’ time-series data structure, and identifies the most suitable model for ...
Quynh-Trang Nguyen +3 more
openaire +1 more source
Long Term Hedging of the Australian All Ordinaries Index Using a Bivariate Error Correction FIGARCH Model [PDF]
, 2004 This article compares the performance of bivariate error correction GARCH and FIGARCH models when estimating long term dynamic minimum variance hedge ratios (MVHRs) on the Australian All Ordinaries Index.
Dark, Jonathan
core
Volatility Clustering and Long Memory- a FIGARCH Analysis of Selected Currency Pairs
This paper employs the Fractionally Integrated GARCH (FIGARCH) model to analyze the volatility of daily USD returns in four major currency pairs: Euro-USD, GBP-USD, INR-USD, and JPY-USD, using data from January 4, 1999, to August 6, 2021. Before model fitting, the squared-innovation series is examined for the presence of long memory through ...
Sanjay Kumar, Nand Kumar
openaire +1 more source
Symmetric and asymmetric GARCH estimations of the impact of oil price uncertainty on output growth: evidence from the G7. [PDF]
Lett Spat Resour Sci, 2023 Alao RO +5 more
europepmc +1 more source
Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
Management Dynamics in the Knowledge Economy, 2022 The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main ...
Yassine BENZAI +2 more
doaj
Gestão & Produção, 2012 O presente estudo propõe uma análise comparativa de dez modelos de volatilidade para o cálculo do Value-at-Risk (VaR) para carteira teórica do Ibovespa, considerando a presença de memória longa na série temporal dos seus retornos diários.
Luiz Eduardo Gaio +1 more
doaj +1 more source
Economies, 2019 The impact that oil market shocks have on stock markets of oil-related economies has several implications for both domestic and foreign investors. Thus, we investigate the role of the oil market in deriving the dynamic linkage between stock markets of ...
Manel Youssef, Khaled Mokni
doaj +1 more source
Modeling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach
, 2007 This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process.
Morana, Claudio, Baillie, Richard T.
core
FIGARCH Processes: Estimation on volatility in exchange rates of Per´u
Pesquimat, 2019 This research presents a theoretical review of the structure and applica-tion of long memory nature models that combine characteristics of the fractionally integrated processes with the classic GARCH models, thus obtaining the autoregres-sive models with fractionally integrated conditioned heterocedasticity (FIGARCH) which Through the cumulative ...
Briones Zúñiga, José Luis +1 more
openaire +1 more source
The impact of foreign exchange interventions: new evidence from FIGARCH estimations [PDF]
, 1999 info:eu-repo/semantics ...
Beine, Michel +2 more
openaire +1 more source