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Modelling financial observable-volatility using long memory models

Cheong, Chin Wen and Isa, Zaidi and Mohd. Nor, Abu Hassan Shaari (2007) Modelling financial observable-volatility using long memory models. Applied Financial Economics Letters, 3 (3). pp. 201-208.

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Official URL: http://dx.doi.org/10.1080/17446540601018949

Abstract

This article proposes a generalized long persistence observable volatility model which comprises of leverage effect autoregressive fractionally integrated moving average model with time-varying volatility and the inclusion of heterogeneous autoregressive components as the contemporaneous variables. Our empirical results found that the proposed model provides substantial improvement in the model fitting as well as specification.

Item Type:Article
Uncontrolled Keywords:financial, volatility, memory models
Subjects:H Social Sciences > HG Finance
Divisions:Others
ID Code:17122
Deposited By: Ramli Haron
Deposited On:25 Nov 2011 09:06
Last Modified:25 Nov 2011 09:06

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