شماره ركورد كنفرانس :
3140
عنوان مقاله :
Some notes on FIGARCH and its properties
عنوان به زبان ديگر :
Some notes on FIGARCH and its properties
پديدآورندگان :
Tayefi Maryam نويسنده Department of Statistics and Center for Advanced Studies - University of Pune - India
كليدواژه :
ARCH , GARCH , FIGARCH , long memory models , Volatility
عنوان كنفرانس :
يازدهمين كنفرانس آمار ايران
چكيده لاتين :
This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) model, mainly for describing the observed persistence in the volatility of a time series. The long memory nature of FIGARCH allows it to be a
better candidate than other conditional heteroscedastic models for modeling volatility in exchange rates, option prices, stock market returns and infla
شماره مدرك كنفرانس :
4219389
