An Overview of FIGARCH and Related Time Series Models
Austrian Journal of Statistics, 2016 This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) models, mainly for describing the observed persistence in the volatility of a time series.
Maryam Tayefi, T.V. Ramanathan
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A Study of Nigeria Monthly Stock Price Index Using ARTFIMA-FIGARCH Hybrid Model
UMYU Scientifica Journal, 2023 Long memory is a phenomenon in time series analysis that is exhibited by a slow decay of the autocorrelation function. It has been observed that the presence of long memory in both mean and volatility can complicate model fitting and compromise ...
A G Umar, H G Dikko, J Garba, M Tasi’u
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Block Trading Based Volatility Forecasting: An Application of VACD-FIGARCH Model [PDF]
Journal of Asian Finance, Economics and Business (discontinued), 2020 The purpose of this study is to construct the ACD model for the block trading volume duration. The ACD model based on the block trading volume duration is referred to as Volume ACD (VACD) in this study. By integrating with GARCH-type models, the VACD based GARCH type models, which include VACD-GARCH, VACD-IGARCH and VACD-FIGARCH models, are set up ...
Teng-Tsai TU, Chih-Wei LIAO
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Investigating Volatility Dynamics of the Portugal Stock Market using FIGARCH Models [PDF]
Annals of Dunarea de Jos University. Fascicle I : Economics and Applied Informatics, 2023 The act of modeling and forecasting stock market volatility has become essential to risk management practice; it has become one of the most prevalent subjects in financial econometrics and has been mainly and continuously used in the valuation of ...
Santosh KUMAR +4 more
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Equilibrium bifurcation and extreme risk in the EU carbon futures market [PDF]
HeliyonConsidering the long-term memory and volatility clustering of the European Union (EU) Carbon Emission Allowances (EUA) futures returns, based on the economy–energy–environment system perspective and the assumption of investors' heterogeneity, this study ...
Junlong Mi +3 more
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Modelling the High Frequency Exchange Rate in Romania with FIGARCH
Procedia Economics and Finance, 2014 AbstractRomanian forex market is an emerging market with periods of high volatility. The Romanian exchange rate was for a long term on a depreciating trend in nominal terms interrupted by short bursts of appreciation. The paper applies a FIGARCH model (Beine at al., 2002) for measuring the volatility of exchange rates in order to see how the forex ...
Pelinescu, Elena, Acatrinei, Marius
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Modeling Markov Switching ARMA-GARCH Neural Networks Models and an Application to Forecasting Stock Returns [PDF]
The Scientific World Journal, 2014 The study has two aims. The first aim is to propose a family of nonlinear GARCH models that incorporate fractional integration and asymmetric power properties to MS-GARCH processes.
Melike Bildirici, Özgür Ersin
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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
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Modelling High-Frequency Volatility with Three-State FIGARCH Models [PDF]
SSRN Electronic Journal, 2013 Abstract Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH) models have enjoyed considerable popularity over the past decade because of their ability to capture the features of volatility clustering and long-memory persistence.
Shi, Yanlin, Ho, Kin-Yip
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Evaluating the Effectiveness of GARCH Models in the Estimation of Systematic Risk in listed companies of the Tehran Stock Exchange [PDF]
Journal of Asset Management and Financing, 2020 The stock market of each country, in addition to reflecting its economic structure, is considered as an important source of capital Circulation of that country.
nemat rastgoo, Hossein panahian
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