Results 171 to 180 of about 13,792,513 (203)
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An improved FIGARCH model with the fractional differencing operator (1-νL)
Finance Research Letters, 2023Qunxing Pan, Peng Li, Xiuli Du
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Testing for long memory in ISE using Arfima-figarch model and structural break test [PDF]
, 2009 This study examines long memory in Istanbul Stock Exchange (ISE) by using the structural break test in variance and ARFIMA-FIGARCH model. Our findings indicate that long memory does not exist in the equity return; however, it exits in volatility. Consequently, ISE is found as a weak form inefficient market due to volatility as it has a predictable ...
Korkmaz, Turhan +2 more
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Modeling volatility with time-varying FIGARCH models
Economic Modelling, 2011Abstract This paper puts the light on a new class of time-varying FIGARCH or TV-FIGARCH processes to model the volatility. This new model has the feature to account for the long memory and the structural change in the conditional variance process. The structural change is modeled by a logistic function allowing the intercept to vary over time.
Mustapha Belkhouja, Mohamed Boutahary
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Modelling long memory and structural breaks in conditional variances: An adaptive FIGARCH approach [PDF]
Journal of Economic Dynamics and Control, 2009 zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Richard T. Baillie, Claudio Morana
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Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models
Computational Statistics, 2009The tail index \(\alpha\) and long memory parameter \(d\) are estimated for stationary linear ARCH (LARCH) and fractionally integrated GARCH (FIGARCH) processes with heavy tailed marginal distributions and long memory. The estimates are based on the discrete wavelet transform (DWT). A confidence interval for \(\alpha\) is constructed.
Agnieszka Jach, Piotr Kokoszka
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Use of FIGARCH models in Expected Shortfall
2017Στα οικονομικά, ένα από τους βασικούς στόχους είναι η εκτίμηση της μεταβλητότητας, από τη στιγμή που παίζει σημαντικό ρόλο στην ανάλυση και στη διαχείριση του κινδύνου. Για αυτό το λόγο, έχουν αναπτυχθεί σύγχρονες ποσοτικές μέθοδοι, οι οποίες χρησιμοποιούν γνώσεις από την οικονομία, την στατιστική και τον προγραμματισμό για να πετύχουν το στόχο τους ...
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Long memory and nonlinearity in conditional variances: A smooth transition FIGARCH model
Journal of Empirical Finance, 2009Abstract This paper introduces the Smooth Transition version of FIGARCH model which is designed to account for both long memory and nonlinear dynamics in the conditional variance. Nonlinearity is introduced via a logistic transition function. The model can capture smooth changes in the volatility across different regimes as well as asymmetric ...
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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 +3 more
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Great Salt Lake Surface Level Forecasting Using FIGARCH Model
Volume 5: 6th International Conference on Multibody Systems, Nonlinear Dynamics, and Control, Parts A, B, and C, 2007In this paper, we have examined 4 models for Great Salt Lake level forecasting: ARMA (Auto-Regression and Moving Average), ARFIMA (Auto-Regressive Fractional Integral and Moving Average), GARCH (Generalized Auto-Regressive Conditional Heteroskedasticity) and FIGARCH (Fractional Integral Generalized Auto-Regressive Conditional Heteroskedasticity ...
Qianru Li +3 more
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Applied Financial Economics, 2002
This paper, estimates figarch models introduced by baillie et al. (1996a) for the four major daily exchange rates against the usd (dem, frf, yen and the gbp). The former contributions are extended by accounting for the observed kurtosis through a student- t based maximum likelihood estimation and by including variables capturing the effect of closing ...
Beine, Michel +2 more
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This paper, estimates figarch models introduced by baillie et al. (1996a) for the four major daily exchange rates against the usd (dem, frf, yen and the gbp). The former contributions are extended by accounting for the observed kurtosis through a student- t based maximum likelihood estimation and by including variables capturing the effect of closing ...
Beine, Michel +2 more
openaire +4 more sources