New practice for investors in Chinese stock market: From perspective of fractionally integrated realized GARCH model. [PDF]
Heliyon, 2023 Xiao M, Tao Z, Gu Z, Li Z, Chen X.
europepmc +1 more source
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
core
A hybrid ExpAR-FIGARCH-ANN model for time series forecasting
Journal of Statistical Sciences and Computational IntelligenceFinancial time series forecast is challenging due to nonlinear mean dynamics, volatility clustering, and long-memory effects. Traditional hybrid models such as Autoregressive Integrated Moving Average – Generalised Autoregressive Conditional Heteroscedasticity (ARIMA–GARCH) and Fractional Generalised Integrated Autoregressive Conditional ...
Abba Bello Muhammad +5 more
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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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Forecasting Corn Futures Volatility in the Presence of Long Memory, Seasonality and Structural Change [PDF]
Price volatility in the corn market has changed considerably globalization and stronger linkages to the energy complex. Using data from January 1989 through December 2009, we estimate and forecast the volatility in the corn market using futures daily ...
Garcia, Philip, Wang, Xiaoyang
core +1 more source
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
doaj +1 more source
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
europepmc +1 more source
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
core
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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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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