Results 51 to 60 of about 2,079 (206)
Discrete Dynamics in Nature and Society, Volume 2018, Issue 1, 2018., 2018 Memory in finance is the foundation of a well‐established forecasting model, and new financial theory research shows that the stochastic memory model depends on different time windows. To accurately identify the multivariate long memory model in the financial market, this paper proposes the concept of a moving V‐statistic on the basis of a modified R/S
Peng Zheng +3 more
wiley +1 more source
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
doaj +1 more source
Modelling Volatility Cycles: The MF2‐GARCH Model
Journal of Applied Econometrics, Volume 40, Issue 4, Page 438-454, June/July 2025.ABSTRACT We propose a novel multiplicative factor multi‐frequency GARCH (MF2‐GARCH) model, which exploits the empirical fact that the daily standardized forecast errors of one‐component GARCH models are predictable by a moving average of past standardized forecast errors.
Christian Conrad, Robert F. Engle
wiley +1 more source
Improving Volatility Risk Forecasting Accuracy in Industry Sector
International Journal of Mathematics and Mathematical Sciences, Volume 2017, Issue 1, 2017., 2017 Recently, the volatility of financial markets has contributed a necessary part to risk management. Volatility risk is characterized as the standard deviation of the constantly compound return per day. This paper presents forecasting of volatility for the Jordanian industry sector after the crisis in 2009.
S. Al Wadi, Niansheng Tang
wiley +1 more source
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
openaire +2 more sources
Structural breaks and GARCH models of exchange rate volatility: Re‐examination and extension
Journal of Applied Econometrics, Volume 39, Issue 7, Page 1403-1407, November/December 2024.Summary We examine the empirical significance of structural changes concerning generalized autoregressive conditional heteroskedasticity (GARCH) models of exchange rate volatility using out‐of‐sample tests by replicating and carrying out robustness checks on the volatility forecasting study by Rapach and Strauss (Journal of Applied Econometrics, 2008 ...
Akram Shavkatovich Hasanov +3 more
wiley +1 more source
Gestão & Produção, 2012 O presente estudo propõe uma análise comparativa de dez modelos de volatilidade para o cálculo do Value-at-Risk (VaR) para carteira teórica do Ibovespa, considerando a presença de memória longa na série temporal dos seus retornos diários.
Luiz Eduardo Gaio +1 more
doaj +1 more source
Quantification of the stock market value at risk by using FIAPARCH, HYGARCH and FIGARCH models
Data Science in Finance and Economics, 2023 <abstract><p>The South African financial market is developing with periods of high and low volatility. Employing an adequate volatility model is essential to manage market risk. This research study was designed to investigate the effectiveness of the fractionally integrated asymmetric power autoregressive conditional heteroskedasticity ...
Moses Khumalo +2 more
openaire +2 more sources
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
doaj +1 more source
Performance of the Multifractal Model of Asset Returns (MMAR): Evidence from Emerging Stock Markets
International Journal of Financial Studies, 2016 In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and
Samet Günay
doaj +1 more source