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

Structural breaks in unbiased volatility estimator: Modeling and forecasting

2017 ◽  
Vol 11 (1) ◽  
pp. 27-50 ◽  
Author(s):  
Dilip Kumar
Keyword(s):  
Long Memory ◽  
Structural Breaks ◽  
Realized Volatility ◽  
Extreme Value ◽  
Trading Strategy ◽  
Risk Averse ◽  
Memory Property ◽  
Economic Significance ◽  
Forecasting Performance ◽  
Modeling And Forecasting

The study provides a framework to model the unbiased extreme value volatility estimator (The AddRS estimator) in presence of structural breaks. We observe that the structural breaks in the volatility based on the AddRS estimator can partly explain its long memory property. We evaluate the forecasting performance of the proposed framework and compare the results with the corresponding results of the models from the GARCH family. The forecasts evaluation exercises consider the cases when future breaks are known as well as unknown. Our findings indicate that the proposed framework outperform the sophisticated GARCH class of models in forecasting realized volatility. Moreover, we devise a trading strategy based on the forecasts of the variance to highlight the economic significance of the proposed framework. We find that a risk averse investor can make substantial gain using the volatility forecasts based on the proposed frameworks in comparison to the GARCH family of models.

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

Seasonal Nonlinear Long Memory Model for the US Inflation Rates

2007 ◽  
Vol 31 (3) ◽  
pp. 243-254 ◽  
Author(s):  
Ahdi Noomen Ajmi ◽  
Adnen Ben Nasr ◽  
Mohamed Boutahar
Keyword(s):  
Long Memory ◽  
Memory Model ◽  
Inflation Rates ◽  
The Us
Sign in / Sign up

Export Citation Format

Share Document