Results 71 to 80 of about 2,269 (199)
Journal of Finance and Data Science, 2016 In this article we evaluate the daily conditional volatility and h-step-ahead Value at Risk (VaR) forecasting power of three long memory GARCH-type models (FIGARCH, HYGARCH & FIAPARCH).
Samir Mabrouk
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Developing Exp-FIGARCH Hybrid Models for Time Series Modelling
Dutse Journal of Pure and Applied SciencesIn this paper, we introduced a new hybrid model namely Exponential Autoregressive-Fractional Integrated Generalized Autoregressive Conditional Heteroscedasticity (ExpAR-FIGARCH) model and study financial data. The Daily Nigeria All Share Stock Index that exhibit nonlinear, volatility and long memory effect were analyzed in the study.
Jibrin, Sanusi Alhaji +2 more
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Modeling Sequences of Long Memory Positive Weakly Stationary Random Variables [PDF]
, 2002 In this paper we introduce a new class of covariance stationary long-memory models on the positive half-line. The overall structure of the models is related to that of GARCH processes of Engle (1982) and Bollerslev (1986), whereby sequence of random ...
Dmitri Koulikov
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İKİLİ UZUN HAFIZADA ASİMETRİ ETKİSİ: BİST BANKA ÖRNEĞİ
Mehmet Akif Ersoy Üniversitesi İktisadi ve İdari Bilimler Fakültesi Dergisi, 2019 Çalışmanın amacı, Türk bankacılık sektör endeksiningetiri ve volatilitesinde ikili uzun hafıza özelliğini ARFIMA-FIGARCH veARFIMA-FIEGARCH modeli ile inceleyerek etkin piyasalar hipotezini testetmektir. Bu amaçla modelde veri seti olarak 2008-2017 dönemi
Harun Kaya, İsmail Çelik
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International Journal of Financial StudiesThe aim of this study is to enhance the understanding of volatility dynamics in commodity returns, such as gold and cocoa, as well as the financial market index S&P500. It provides a comprehensive overview of each model’s efficacy in capturing volatility
Apostolos Ampountolas
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Out-of-sample Forecasting Performance of Won/Dollar Exchange Rate Return Volatility Model
East Asian Economic Review, 2009 We compare the out-of-sample forecasting performance of volatility models using daily exchange rate for the KRW/USD during the period from 1992 to 2008.
Hojin Lee
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East Asian Economic Review, 2007 This paper investigates the relevance of skewed Student-t distributions in capturing long memory volatility properties in the daily return series of Japanese financial data (Nikkei 225 Index and JPY-USD exchange rate).
Seong¡-Min Yoon , Sang-Hoon Kang
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The impact of foreign exchange interventions: new evidence from FIGARCH estimations [PDF]
, 1999 info:eu-repo/semantics ...
Beine, Michel +2 more
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Forecasting volatility and volume in the Tokyo stock market: The advantage of long memory models [PDF]
We investigate the predictability of both volatility and volume for a large sample of Japanese stocks. The particular emphasis of this paper is on assessing the performance of long memory time series models in comparison to their short-memory ...
Kaizoji, Taisei, Lux, Thomas
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Long-Memory Models in Testing the Efficiency Market Hypothesis of the Algerian Exchange Market
Management Dynamics in the Knowledge Economy, 2022 The purpose of this study is to examine the Efficiency Market Hypothesis (EMH) from the perspective of the Algerian exchange rate market. We apply different tests of dependence, long memory, volatility clustering and unit root tests over the three main ...
Yassine BENZAI +2 more
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