The multi-fractal model of asset returns : its estimation via GMM and its use for volatility forecasting [PDF]
Multi-fractal processes have been proposed as a new formalism for modeling the time series of returns in finance. The major attraction of these processes is their ability to generate various degrees of long memory in different powers of returns - a ...
Lux, Thomas
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Estimating the Degree of Integration in CPI with ARFIMA-FIGARCH Model: Case study of Iran [PDF]
Faslnāmah-i Pizhūhish/Nāmah-i Iqtisādī, 2014 The study of the effect of memory in different economic indices, especially inflation and money market, has high research attractiveness. In this paper, by using the data of consumer price index for Iran during 1990/04 – 2011/11, we investigate the ...
Hossein Abbasinejad +1 more
doaj
Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach [PDF]
This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process.
Claudio Morana, Richard T. Baillie
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Backtesting VaR Models: An Expected Shortfall Approach [PDF]
Academics and practitioners have extensively studied Value-at-Risk (VaR) to propose a unique risk management technique that generates accurate VaR estimations for long and short trading positions and for all types of financial assets.
Stavros Degiannakis, Timotheos Angelidis
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Statistical modelling for forecasting volatility in potato prices using ARFIMA-FIGARCH model
The Indian Journal of Agricultural Sciences, 2018 This paper investigates the presence of long memory both in mean and volatility in the potato prices in Agra and Amritsar markets of India, using the Autoregressive fractionally integrated moving average (ARFIMA) and Fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models.
DIPANKAR MITRA +2 more
openaire +1 more source
The effect of COVID-19 on long memory in returns and volatility of cryptocurrency and stock markets. [PDF]
Chaos Solitons Fractals, 2021 Lahmiri S, Bekiros S.
europepmc +1 more source
Long memory of volatility measures in time series [PDF]
The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1)
Henryk Gurgul, Tomasz Wojtowicz
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How COVID-19 has affected stock market persistence? Evidence from the G7's. [PDF]
Physica A, 2021 Bentes SR.
europepmc +1 more source
Pronóstico y estructuras de volatilidad multiperíodo de la tasa de cambio del peso colombiano
Cuadernos de Economía, 2008 El modelo gaussiano GARCH(1,1) ha sido empleado, tradicionalmente, en el estudio de la tasa de cambio; sin embargo, un número importante de estudios recientes (utilizando modelos FIGARCH e HYGARCH) ha encontrado evidencia de persistencia en su ...
Gallón Gómez Santiago +2 more
doaj
Does bitcoin provide hedge to Islamic stock markets for pre- and during COVID-19 outbreak? A comparative analysis with gold. [PDF]
Resour Policy, 2021 Chkili W, Ben Rejeb A, Arfaoui M.
europepmc +1 more source