Results 41 to 50 of about 2,079 (206)

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, RANJIT KUMAR PAUL, A K PAUL   +2 more
openaire   +1 more source

Modeling long-term volatility memory dynamics in the Colombo Stock Exchange [PDF]

IIM Ranchi Journal of Management Studies
PurposeThis study examines the long-term volatility memory dynamics of the Colombo Stock Exchange by comparing the behaviors of the All Share Price Index (ASPI) and the S&P SL20 Index under recent economic scenarios.Design/methodology/approachThe paper ...
Mohamed Ismail Mohamed Riyath
doaj   +1 more source

On the integrated behaviour of non-stationary volatility in stock markets [PDF]

, 2006
This paper analyses the behaviour of volatility for several international stock market indexes, namely the SP 500 (USA), the Nikkei (Japan), the PSI 20 (Portugal), the CAC 40 (France), the DAX 30 (Germany), the FTSE 100 (UK), the IBEX 35 (Spain) and the ...
Andreia Dionisio, Baillie, Barton, Bollerslev, Bollerslev, Darrat, Diana A. Mendes, Engle, Engle, Engle, Johansen, Johansen, Lamoureux, Meddahi, Nelson, Phylaktis, Rui Menezes, Vilasuso   +17 more
core   +5 more sources

A Study of Nigeria Monthly Stock Price Index Using ARTFIMA-FIGARCH Hybrid Model

UMYU Scientifica, 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 forecasting reliability. Meanwhile, the Autoregressive Tempered Fractional Integrated Moving Average (ARTFIMA)
A G Umar, H G Dikko, J Garba, M Tasi’u
openaire   +1 more source

Quantitative Comparisons on the Intrinsic Features of Foreign Exchange Rates Between the 1920s and the 2010s: Case of the USD-GBP Exchange Rate

East Asian Economic Review, 2016
This paper quantitatively compares the intrinsic features of the daily USD-GBP exchange rates in two different periods, the 1920s and the 2010s, under the same freely floating exchange rate system.
Young Wook Han
doaj   +1 more source

Fractional derivatives of random walks: Time series with long-time memory

, 2008
We review statistical properties of models generated by the application of a (positive and negative order) fractional derivative operator to a standard random walk and show that the resulting stochastic walks display slowly-decaying autocorrelation ...
G. Samorodnitsky, G. Zumbach, H. E. Hurst, H. Eduardo Roman, I. Podlubny, K. B. Oldham, L. Palatella, Markus Porto, R. Engle, R. N. Mantegna, Y. J. Campbell   +10 more
core   +1 more source

Investigating the Dynamic Correlation of the Turkish Stock Market With Conventional Financial Assets and Digital Currencies

Discrete Dynamics in Nature and Society, Volume 2026, Issue 1, 2026.
Today, the astonishing growth of digital currency has attracted many bold investors. This has caused digital currencies to be gradually introduced as a new asset class with its own criteria. However, the relationship between traditional assets and new assets is not yet deeply understood. This study’s objective is to investigate the dynamic relationship
Farzaneh Shams Tarnabi, Fabio Tramontana
wiley   +1 more source

Evaluation of Dual Long Memory Properties with Emphasizing the Skewed and Fat-Tail Distribution: Evidence from Tehran Stock Exchange [PDF]

Muṭāli̒āt-i Mudīriyyat-i Ṣan̒atī, 2014
This paper investigates the presence of long memory in the Tehran stock market, using the ARFIMA, GPH, GSP and FIGARCH models. The data set consists of daily returns, and long memory tests are carried out both for the returns and volatilities of TEPIX ...
Mohammad Javad Mohagheghnia, Kashi Mansoor, Alireza Daliri, Mohammad Donyaei   +3 more
doaj  

Market Consistent Valuation for Bitcoin Options With Long Memory in Conditional Volatility and Conditional Non‐Normality

Journal of Futures Markets, Volume 45, Issue 8, Page 917-945, August 2025.
ABSTRACT This paper investigates the economic consequences for Bitcoin options' prices of a long memory in conditional volatility and conditional non‐normality of Bitcoin returns. The arbitrage‐free prices of Bitcoin options are determined by market consistent valuation and the conditional Esscher transform. Monte Carlo estimates for option prices from
Tak Kuen Siu
wiley   +1 more source

Spatial and spatiotemporal volatility models: A review

Journal of Economic Surveys, Volume 39, Issue 3, Page 1037-1091, July 2025.
Abstract Spatial and spatiotemporal volatility models are a class of models designed to capture spatial dependence in the volatility of spatial and spatiotemporal data. Spatial dependence in the volatility may arise due to spatial spillovers among locations; that is, in the case of positive spatial dependence, if two locations are in close proximity ...
Philipp Otto, Osman Doğan, Süleyman Taşpınar, Wolfgang Schmid, Anil K. Bera   +4 more
wiley   +1 more source