Results 191 to 200 of about 2,339 (211)

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
openaire   +1 more source

Long memory and FIGARCH models for daily and high frequency commodity prices [PDF]

, 2007
Daily futures returns on six important commodities are found to be well described as FIGARCH fractionally integrated volatility processes, with small departures from the martingale in mean property. The paper also analyzes several years of high frequency intra day commodity futures returns and finds very similar long memory in volatility features at ...
Richard T. Baillie, Young-Wook Han, Robert J. Myers, Jeongseok Song   +3 more
openaire   +1 more source

Long memory behavior in the returns of Pakistan stock market: Arfima-Figarch models [PDF]

International Journal of Economics and Financial Issues, 2014
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptions as Normal, Student-t, Skewed Student-t and GED distribution.
TURKYILMAZ, Serpil, BALIBEY, Mesut
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.
openaire   +1 more source

Integrated ARCH, FIGARCH and AR models: Origins of long memory

2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the suspicion that other solutions besides the trivial zero one,
Giraitis, Liudas, Surgailis, Donatas, Škarnulis, Andrius   +2 more
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  

Modeling high-frequency volatility with three-state FIGARCH models

Economic Modelling, 2015
Yanlin Shi, Kin-Yip Ho
exaly  

Sectoral stock return sensitivity to oil price changes: a double-threshold FIGARCH model

Quantitative Finance, 2013
Elyas Elyasiani
exaly  

Forecasting volatility in gold returns under the GARCH, IGARCH and FIGARCH frameworks: New evidence

Physica A: Statistical Mechanics and Its Applications, 2015
Sónia R Bentes
exaly  

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

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