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Long Memory in Stock Market Volatility:Evidence from India

Hiremath, Gourishankar S; Bandi, Kamaiah - Volkswirtschaftliche Fakultät, … - 2010

log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. For the purpose, daily values of 38 indices … of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …

Persistent link: https://www.econbiz.de/10011112536

Asymptotic Theory for the QMLE in GARCH-X Models with Stationary and Non-Stationary Covariates

Han, Heejoon; Kristensen, Dennis - School of Economics and Management, University of Aarhus - 2012

GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …

Persistent link: https://www.econbiz.de/10010851299

Modelling persistence in the conditional mean of inflation using the ARFIMA process with GARCH and GJR-GARCH innovations : the case of Ghana and South Africa

Boateng, Alexander; Lesaoana, Maseka; Siweya, Hlengani; … - In: African review of economics & finance : AREF : (a … 9 (2017) 2, pp. 96-130

Persistent link: https://www.econbiz.de/10011780438

Fast fractional differencing in modeling long memory of conditional variance for high-frequency data

Klein, Tony; Walther, Thomas - In: Finance research letters 22 (2017), pp. 274-279

Persistent link: https://www.econbiz.de/10011808179

A note on conditional variance and decaying rate : Chinese equity market

Amanjot Singh - In: Journal of quantitative economics 16 (2018) 2, pp. 595-611

Persistent link: https://www.econbiz.de/10012418518

A generalized fractional time series model

Gil-Alaña, Luis A. - 2000

We propose in this article a general time series model, whose components are modelled in terms of fractionally integrated processes. This specification allows us to consider the trend, the seasonal and the cyclical components as stochastic processes, including the unit root models as particular...

Persistent link: https://www.econbiz.de/10010310175

Forecasting the real output using fractionally integrated techniques

Gil-Alaña, Luis A. - 2001

The annual structure of the real GDP in the UK, France, Germany and Italy is examined in this article by means of fractionally integrated techniques. Using a version of a testing procedure due to Robinson (1994), we show that the series can be specified in terms of I(d) statistical models with d...

Persistent link: https://www.econbiz.de/10010310342

Unit and fractional roots in the presence of abrupt changes with an application to the Brazilian inflation rate

Gil-Alaña, Luis A. - 2001

We analyse in this article the monthly structure of the Brazilian inflation rate by means of fractionally integrated techniques. This series is characterized by strong government interventions to bring inflation to a low level. We use a testing procedure due to Robinson (1994) which allow us to...

Persistent link: https://www.econbiz.de/10010310350

The power of the tests of Robinson (1994) in the context of fractionally integrated moving average models

Gil-Alaña, Luis A. - 2001

We examine in this article the power of the tests of Robinson (1994) for testing I(d) statistical models in the presence of moving average (MA) disturbances. The results show that the tests behave relatively well if we correctly assume that the disturbances are MA. However, assuming white noise...

Persistent link: https://www.econbiz.de/10010310383

Fractional integration and business cycle features

Candelon, Bertrand; Gil-Alaña, Luis A. - 2001

We show in this article that fractionally integrated univariate models for GDP may lead to a better replication of business cycle characteristics. We firstly show that the business cycle features are clearly affected by the degree of integration as well as by the other short run components of...

Persistent link: https://www.econbiz.de/10010310394