How COVID-19 has affected stock market persistence? Evidence from the G7's. [PDF]
Physica A, 2021 Bentes SR.
europepmc +1 more source
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
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ARFIMA-FIGARCH, HYGARCH and FIAPARCH models of exchange rates [PDF]
, 2018 In this paper we apply the parametric approach to testing for dual long memory in daily exchange rate returns (first differences of daily log exchange rates) of twelve currencies against USD (4310 observations).
Zhelyazkova, Slaveya; University of Economics-Varna
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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
doaj +1 more source
Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. [PDF]
Resour Policy, 2021 Chkili W, Ben Rejeb A, Arfaoui M.
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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
Quantitative modelling frontiers: a literature review on the evolution in financial and risk modelling after the financial crisis (2008-2019). [PDF]
SN Bus Econ, 2022 Vogl M.
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Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model [PDF]
This paper introduces the Smooth Transition version of FIGARCH model which is designed to account for both long memory and nonlinear dynamics in the conditional variance. Nonlinearity is introduced via a logistic transition function.
KIlIç, Rehim
core
Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano
Cuadernos de Economía, 2008 El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su ...
Gallón Gómez Santiago +2 more
doaj
The persistence of financial volatility after COVID-19. [PDF]
Financ Res Lett, 2022 Vera-Valdés JE.
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