Results 181 to 190 of about 989 (203)

Use of FIGARCH models in Expected Shortfall

2017
Στα οικονομικά, ένα από τους βασικούς στόχους είναι η εκτίμηση της μεταβλητότητας, από τη στιγμή που παίζει σημαντικό ρόλο στην ανάλυση και στη διαχείριση του κινδύνου. Για αυτό το λόγο, έχουν αναπτυχθεί σύγχρονες ποσοτικές μέθοδοι, οι οποίες χρησιμοποιούν γνώσεις από την οικονομία, την στατιστική και τον προγραμματισμό για να πετύχουν το στόχο τους ...
openaire   +1 more source

FIGARCH model on Chinese securities market based on the genetic algorithms

2010 3rd International Congress on Image and Signal Processing, 2010
In this paper, a new method of Fractionally Integrated Generalized Autoregressive Conditionally Heteroskedasticity (FIGARCH) model for characterizing financial market volatility is introduced to test the long memory property. We also introduce a new method to establish FIGARCH model — Genetic Algorithms (GA).
Lei Wu
exaly   +2 more sources

Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model

Journal of Empirical Finance, 2009
Abstract 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. The model can capture smooth changes in the volatility across different regimes as well as asymmetric ...
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Central bank intervention and foreign exchange rates: new evidence from FIGARCH estimations

Journal of International Money and Finance, 2002
Abstract In this paper, we investigate the effects of official interventions on the (short run) evolution and volatility of exchange rates. To this aim, we rely on a new measure of volatility implied by the FIGARCH model that outperforms the traditionally used GARCH one.
Christelle Lecourt, Michel Beine, Agnes Bénassy-Quéré   +2 more
exaly   +4 more sources

Development of out-of-sample forecast formulae for the FIGARCH model

Model Assisted Statistics and Applications
Volatility is a matter of concern for time series modeling. It provides valuable insights into the fluctuation and stability of concerning variables over time. Volatility patterns in historical data can provide valuable information for predicting future behaviour. Nonlinear time series models such as the autoregressive conditional heteroscedastic (ARCH)
Rakshit, Debopam, Paul, Ranjit Kumar
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Volatility in CO2 EUAs returns: a FIGARCH approach

2021
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 a hyperbolic rate, thereby a shock to forecast of future conditional variance will be temporary but ...
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Multivariate Diagonal FIGARCH: Specification, Estimation and Application to Modelling Exchange Rates Volatility

2001
This paper extends the FIGARCH long-memory volatility model to a multivariate framework. The proposed quasi maximum likelihood estimator for the parameters of the model is analyzed through Monte Carlo simulations and is found to perform satisfactorily.
Pafka, S, Mátyás, László
openaire   +2 more sources

Testing for long memory volatility of Chinese stock markets with FIGARCH model

2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings, 2014
In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B.
exaly   +2 more sources

An Improved FIGARCH Model with The Difference Operator (1-Vl)D

2023
Qunxing Pan, Peng Li, Xiuli Du
openaire   +1 more source

Fractional Integration and Volatility Transmission Between Real Estate and Stock Markets: Novel Evidence from a FIGARCH-BEKK Approach

Journal of Real Estate Finance and Economics, 2021
Maria I Kyriakou, Apostolos Kiohos, Vassilios Babalos   +2 more
exaly