Modeling volatility with time-varying FIGARCH models [PDF]
This paper puts the light on a new class of time-varying FIGARCH or TV-FIGARCH processes to model the volatility. This new model has the feature to account for the long memory and the structural change in the conditional variance process.
Belkhouja, Mustapha, Boutahary, Mohamed
core
Procesos FIGARCH: Estimación de la volatilidad del tipo de cambio nominal del Per´ú [PDF]
, 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
Briones Zúñiga, José Luis +1 more
core +2 more sources
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
Bivariate FIGARCH and Fractional Cointegration [PDF]
We consider the modelling of volatility on closely related markets. Univariate fractional volatility (FIGARCH) models are now standard, as are multivariate GARCH models. In this paper we adopt a combination of the two methodologies.
Christopher L. Gilbert, Celso Brunetti
core
Volatility in CO2 EUAs returns: a FIGARCH approach [PDF]
, 2020 This paper models volatility in CO2 EUA’s emission returns using a FIGARCH approach. Our findings overwhelmingly suggest that conditional variance in CO2 emissions allowance returns is stationary and mean reverting, but with autocorrelations decaying at ...
Belbute, José
core
New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model. [PDF]
Heliyon, 2023 Xiao M, Tao Z, Gu Z, Li Z, Chen X.
europepmc +1 more source
International Tourist Arrivals In Thailand: Forecasting With Arfima-Figarch Approach [PDF]
Forecasting is an essential analytical tool for tourism policy and planning. This paper focuses on forecasting methods based on ARFIMA(p,d,q)-FIGARCH(p,d,q).
Prasert Chaitip +5 more
core
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
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