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
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East Asian Economic Review, 2014 This paper examines the effects of financial crises on the long memory volatility dependency of daily exchange returns focusing on the Asian crisis in 97-98 and the Global crisis in 08-09.
Young Wook Han
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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
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Forecasting the conditional volatility of oil spot and futures prices with structural breaks and long memory models [PDF]
This paper investigates whether structural breaks and long memory are relevant features in modeling and forecasting the conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural breaks ...
Amine Lahiani +2 more
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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
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Time series properties of ARCH processes with persistent covariates [PDF]
We consider ARCH processes with persistent covariates and provide asymptotic theories that explain how such covariates affect various characteristics of volatility.
Han, Heejoon, Park, Joon Y.
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The Use of Weather Variables in the Modeling of Demand for Electricity in One of the Regions in the Southern Poland [PDF]
The main objective of the paper is the verification of usefulness of the ARFIMA-FIGARCH class models in the description of tendencies in the energy consumption in a selected region of the southern Poland taking into consideration weather variables ...
Aneta Wlodarczyk, Marcin Zawada
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Volatility Modeling and Spillover: The Turkish and Russian Stock Markets
Istanbul Business ResearchThis study investigates the internal and external (spillover) characteristics of the volatility of the Turkish and Russian stock market indices. To this end, generalized autoregressive conditional heteroskedasticity models that are classified as short ...
Ahmet Galip Gençyürek
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Long Memory Persistence in the Factor of Implied Volatility Dynamics [PDF]
The volatility implied by observed market prices as a function of the strike and time to maturity form an Implied Volatility Surface (IV S). Practical applications require reducing the dimension and characterize its dynamics through a small number of ...
Julius Mungo, Wolfgang Härdle
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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
doaj