Results 171 to 180 of about 989 (203)

Bivariate FIGARCH and fractional cointegration [PDF]

Journal of Empirical Finance, 2000
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. There is as yet little consensus on the methodology for testing for fractional cointegration.
Celso Brunetti
exaly   +5 more sources

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A novel time-varying FIGARCH model for improving volatility predictions

Physica A: Statistical Mechanics and Its Applications, 2022
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xuehui Chen, Xinru Zhang
exaly   +2 more sources

Volatility persistence in metal returns: A FIGARCH approach

Journal of Economics and Business, 2012
Abstract This study examines the returns and the long-memory properties of the return volatilities of four metals – copper, gold, platinum, and silver. Daily returns for the January 4, 1999 to March 10, 2009 period are used. Three key issues are addressed: (1) whether the volatility processes exhibit long-run temporal dependence; (2) whether the ...
Steven J. Cochran, Iqbal Mansur, Babatunde Odusami   +2 more
openaire   +1 more source

Modeling and predicting stock returns using the ARFIMA-FIGARCH

2009 World Congress on Nature & Biologically Inspired Computing (NaBIC), 2009
Modeling of real world financial time series such as stock returns are very difficult, because of their inherent characteristics. ARIMA and GARCH models are frequently used in such cases. It is proven of late that, the traditional models may not produce the best results. Lot of recent literature says the successes of hybrid models.
P Bagavathi Sivakumar
exaly   +3 more sources

Modeling volatility with time-varying FIGARCH models

Economic Modelling, 2011
Abstract 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. The structural change is modeled by a logistic function allowing the intercept to vary over time.
Mustapha Belkhouja, Mohamed Boutahary
openaire   +1 more source

Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach [PDF]

Journal of Economic Dynamics and Control, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Richard T. Baillie, Claudio Morana
openaire   +4 more sources

Accounting for conditional leptokurtosis and closing days effects in FIGARCH models of daily exchange rates

Applied Financial Economics, 2002
This paper, estimates FIGARCH models introduced by Baillie et al. (1996a) for the four major daily exchange rates against the USD (DEM, FRF, YEN and the GBP). The former contributions are extended by accounting for the observed kurtosis through a Student-
Christelle Lecourt, Sébastien Laurent, Michel Beine   +2 more
exaly   +2 more sources

An improved FIGARCH model with the fractional differencing operator (1-νL)

Finance Research Letters, 2023
Qunxing Pan, Peng Li, Xiuli Du
exaly   +2 more sources

Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models

Computational Statistics, 2009
The tail index \(\alpha\) and long memory parameter \(d\) are estimated for stationary linear ARCH (LARCH) and fractionally integrated GARCH (FIGARCH) processes with heavy tailed marginal distributions and long memory. The estimates are based on the discrete wavelet transform (DWT). A confidence interval for \(\alpha\) is constructed.
Agnieszka Jach, Piotr Kokoszka
openaire   +3 more sources

Block Trading Based Volatility Forecasting: An Application of VACD-FIGARCH Model [PDF]

Journal of Asian Finance, Economics and Business (discontinued), 2020
The purpose of this study is to construct the ACD model for the block trading volume duration. The ACD model based on the block trading volume duration is referred to as Volume ACD (VACD) in this study. By integrating with GARCH-type models, the VACD based GARCH type models, which include VACD-GARCH, VACD-IGARCH and VACD-FIGARCH models, are set up ...
Teng-Tsai TU, Chih-Wei LIAO
exaly   +2 more sources