scholarly journals Conditional Heteroskedasticity in Long-Memory Model “FIMACH” for Return Volatilities in Equity Markets

2019 ◽  
pp. 149-169 ◽  
Author(s):  
A. M. M. Shahiduzzaman Quoreshi ◽  
Sabur Mollah
Keyword(s):  
Long Memory ◽  
Equity Markets ◽  
Memory Model ◽  
Conditional Heteroskedasticity

A Regime Switching Long Memory Model for Electricity Prices

2006 ◽  
Author(s):  
Niels Haldrup ◽  
Morten Ørregaard Nielsen
Keyword(s):  
Long Memory ◽  
Regime Switching ◽  
Memory Model ◽  
Electricity Prices

Asymmetric and long memory volatility modelling for Asian equity markets

2011 ◽  
Author(s):  
Nurul Afidah Mohamad Yusof ◽  
Chin Wen Cheong ◽  
Ng Sew Lai ◽  
Khor Chia Ying
Keyword(s):  
Long Memory ◽  
Equity Markets

Modeling and forecasting daily average PM10 concentrations by a seasonal long-memory model with volatility

2014 ◽  
Vol 51 ◽  
pp. 286-295 ◽  
Author(s):  
Valdério Anselmo Reisen ◽  
Alessandro José Queiroz Sarnaglia ◽  
Neyval Costa Reis ◽  
Céline Lévy-Leduc ◽  
Jane Méri Santos
Keyword(s):  
Long Memory ◽  
Memory Model ◽  
Daily Average ◽  
Modeling And Forecasting

A k-Factor GARMA Long-memory Model

1998 ◽  
Vol 19 (4) ◽  
pp. 485-504 ◽  
Author(s):  
Wayne A. Woodward ◽  
Q. C. Cheng ◽  
H. L. Gray
Keyword(s):  
Long Memory ◽  
Memory Model ◽  
K Factor

Long-memory Modelling and Forecasting of the Returns and Volatility of Exchange-traded Notes (ETNs)

2017 ◽  
Vol 11 (1) ◽  
pp. 23-53 ◽  
Author(s):  
Argel S. Masa ◽  
John Francis T. Diaz
Keyword(s):  
Long Memory ◽  
Moving Average ◽  
Weak Form ◽  
Jel Classification ◽  
Warning Sign ◽  
Conditional Heteroskedasticity ◽  
Long Memory Process ◽  
Long Run ◽  
Autoregressive Conditional Heteroskedasticity ◽  
Exchange Traded Notes

This research provides evidence in determining the predictability of exchange-traded notes (ETNs). It utilises commodity, currency and equity ETNs as data samples, and examines the performance of the three combinations of long-memory models, that is, autoregressive fractionally integrated moving average and generalised autoregressive conditional heteroskedasticity (ARFIMA-GARCH), autoregressive fractionally integrated moving average and fractionally integrated generalised autoregressive conditional heteroskedasticity (ARFIMA-FIGARCH) and autoregressive fractionally integrated moving average and hyperbolic generalised autoregressive conditional heteroskedasticity (ARFIMA-HYGARCH), and three forecasting horizons, that is, 1-, 5- and 20-step-ahead horizons, to model ETNs returns and volatilities. The article finds long-memory processes in ETNs; however, dual long-memory process in returns and volatilities is not verified. The research also poses a challenge to the weak-form efficiency hypothesis of Fama (1970) because lagged changes determine future values, especially in volatility. The findings also show that differences in the characteristics of commodity, currency and equity ETNs are not concluded because of similarities in ETN traits and several insignificant results. However, the presence of intermediate memory was identified, and should serve as a warning sign for investors not to keep these investments in the long run. Lastly, the ARFIMA-FIGARCH model has a slight edge over the ARFIMA-GARCH and ARFIMA-HYGARCH specifications using 1-, 5- and 20-forecast horizons. JEL Classification: G11, G17

scholarly journals Current account sustainability in G7 and BRICS: Evidence from a long-memory model with structural breaks

2017 ◽  
Vol 27 (6) ◽  
pp. 638-654 ◽  
Author(s):  
Christophe Andre ◽  
Mehmet Balcilar ◽  
Tsangyao Chang ◽  
Luis Alberiko Gil-Alana ◽  
Rangan Gupta
Keyword(s):  
Current Account ◽  
Long Memory ◽  
Structural Breaks ◽  
Memory Model ◽  
Current Account Sustainability

scholarly journals A periodic long-memory model for quarterly UK inflation

1997 ◽  
Vol 13 (1) ◽  
pp. 117-126 ◽  
Author(s):  
Philip Hans Franses ◽  
Marius Ooms
Keyword(s):  
Long Memory ◽  
Memory Model

Stochastic volatility in the Spanish stock market: a long memory model with a structural break

2008 ◽  
Vol 14 (1) ◽  
pp. 23-31 ◽  
Author(s):  
Luis Gil-Alana ◽  
Juncal Cunado ◽  
Fernando Perez De Gracia
Keyword(s):  
Stock Market ◽  
Stochastic Volatility ◽  
Long Memory ◽  
Structural Break ◽  
Memory Model ◽  
Spanish Stock Market
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