Modelling financial observable-volatility using long memory models

This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous variables. Our empirical results found that the proposed model provides substantial improvement in the model fitting as well as specification.

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Year of publication:	2007
Authors:	Cheong, Chin Wen ; Isa, Zaidi ; Nor, Abu Hassan Shaari Mohd
Published in:	Applied Financial Economics Letters. - Taylor and Francis Journals, ISSN 1744-6546. - Vol. 3.2007, 3, p. 201-208
Publisher:	Taylor and Francis Journals

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004988358