Search Results - subject:"FIGARCH"

Exchange rate behaviour in ASEAN countries : a sensitivity analysis

Umoru, David; Igbinovia, Beauty; Aliyu, Mohammed Farid - In: Central European review of economics and management : CEREM 8 (2024) 4, pp. 37-73

volatility persistence. We also found significant ARCH effect which instigated further estimations of the GARCH and FIGARCH … instabilities in the economies. Explicitly, the significance of the FIGARCH coefficient confirms the persistence of volatility over …

Persistent link: https://www.econbiz.de/10015323451

Exchange rate behaviour in ASEAN countries: A sensitivity analysis

Umoru, David; Igbinovia, Beauty; Aliyu, Mohammed Farid - In: The Central European Review of Economics and Management … 8 (2024) 4, pp. 37-73

Persistent link: https://www.econbiz.de/10015323791

Enhancing forecasting accuracy in commodity and financial markets : insights from GARCH and SVR Models

Ampountolas, Apostolos - In: International Journal of Financial Studies : open … 12 (2024) 3, pp. 1-20

, eGARCH, gjrGARCH, and FIGARCH, the research offers a nuanced understanding of volatility evolution and its impact on asset … significant volatility clustering and a slight positive skewness in return distribution. For Cocoa Futures, the FIGARCH model … FIGARCH model for long memory effects can enhance risk management strategies by providing more accurate estimates of Value …

Persistent link: https://www.econbiz.de/10015100922

Applications of long-memory and structure breaks for carbon indexes

Do Thi Van Trang; Chen, Jo-hui - In: International Journal of Energy Economics and Policy : IJEEP 13 (2023) 3, pp. 579-585

Persistent link: https://www.econbiz.de/10014368332

Relationship between macroeconomic fundamentals in the West African monetary zone$h

Eshun, Richard; Tweneboah, George - In: Journal for studies in economics and econometrics : SEE 49 (2025) 2, pp. 158-177

Persistent link: https://www.econbiz.de/10015417730

Long-memory models in testing the efficiency market hypothesis of the algerian exchange market

Benzai, Yassine; Aouad, Hadjar Soumia; Djellouli, Nassima - In: Management dynamics in the knowledge economy 10 (2022) 4/38, pp. 376-390

Persistent link: https://www.econbiz.de/10013499339

Optimal dynamic hedging in selected markets

Yılmaz, Tunahan - In: International Econometric Review (IER) 13 (2021) 4, pp. 89-117

the most efficient hedging portfolio for each emerging country, firstly, we used Dcc-Figarch specifications to measure …

Persistent link: https://www.econbiz.de/10014518990

The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires: A sectoral analysis

Gunay, Samet; Bakry, Walid; Al-Mohamad, Somar - In: Journal of Risk and Financial Management 14 (2021) 4, pp. 1-19

conditional heteroskedasticity (DCC-FIGARCH) model. We found high time-varying correlations between the Chinese stock market and …

Persistent link: https://www.econbiz.de/10012611732

The Australian stock market's reaction to the first wave of the COVID-19 pandemic and black summer bushfires : a sectoral analysis

Gunay, Samet; Bakry, Walid; Al-Mohamad, Somar - In: Journal of risk and financial management : JRFM 14 (2021) 4, pp. 1-19

conditional heteroskedasticity (DCC-FIGARCH) model. We found high time-varying correlations between the Chinese stock market and …

Persistent link: https://www.econbiz.de/10012522165

Optimal dynamic hedging in selected markets

Yilmaz, Tunahan - In: International econometric review 13 (2021) 4, pp. 89-117

the most efficient hedging portfolio for each emerging country, firstly, we used Dcc-Figarch specifications to measure …

Persistent link: https://www.econbiz.de/10013382400