We propose a new model called the product memory GARCH model by replacing (1-L)d in the FIGARCH model with (1-vL)d for 0≤v≤1, where the impulse response function in its ARCH(infinity) process has a decay rate in the form of the product of a geometric memory rate and a hyperbolic memory rare...

We investigate the changes in volatility leverage and spillover effects of three crude oil futures markets—WTI, Brent, and Oman—under the 2022 Russia-Ukraine conflict. We find that this conflict eliminates the regular leverage effect in WTI and Brent markets, slightly increases and...