Microeconomic Models for Long Memory in the Volatility of Financial Time Series

2001 ◽  
Vol 5 (4) ◽  
pp. 281-302 ◽  
Author(s):  
Alan Kirman ◽  
Gilles Teyssière
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Financial Time ◽  
Microeconomic Models

Influence of some ARFIMA model parameters on the accuracy of financial time series forecasting

2021 ◽  
Vol 62 ◽  
pp. 85-100
Author(s):  
Robert Garafutdinov ◽  
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Time Series Forecasting ◽  
Model Parameters ◽  
Memory Length ◽  
Financial Time ◽  
True Value ◽  
Arfima Model ◽  
Practical Recommendations

The influence of ARFIMA model parameters on the accuracy of financial time series forecasting on the example of artificially generated long memory series and daily log returns of RTS index is investigated. The investigated parameters are deviation of the integration order value from its «true» value, as well as the memory «length» considered by the model. Based on the research results, some practical recommendations for modeling using ARFIMA have been formulated.

Is there long memory in financial time series?

2010 ◽  
Vol 20 (6) ◽  
pp. 487-500 ◽  
Author(s):  
Luiz Renato Lima ◽  
Zhijie Xiao
Keyword(s):  
Time Series ◽  
Long Memory ◽  
Financial Time Series ◽  
Financial Time
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