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 …

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 …

, 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 …

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

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

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

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

by using the FIGARCH model. In particular, the long memory volatility properties in the two periods are found to be … upward biased and overstated because of the structural breaks in the exchange markets. Thus this paper applies the Adaptive-FIGARCH …