Modelling financial observable-volatility using long memory models

Chin Wen Cheong, Zaidi Isa, Abu Hassan Shaari Md Nor

Research output: Contribution to journalArticle

7 Citations (Scopus)

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.

Original languageEnglish
Pages (from-to)201-208
Number of pages8
JournalApplied Financial Economics Letters
Volume3
Issue number3
DOIs
Publication statusPublished - May 2007

Fingerprint

Long memory models
Financial modeling
Integrated
Moving average
Inclusion
Time-varying volatility
Volatility models
Empirical results
Leverage effect
Persistence

ASJC Scopus subject areas

  • Economics and Econometrics
  • Finance

Cite this

Modelling financial observable-volatility using long memory models. / Cheong, Chin Wen; Isa, Zaidi; Md Nor, Abu Hassan Shaari.

In: Applied Financial Economics Letters, Vol. 3, No. 3, 05.2007, p. 201-208.

Research output: Contribution to journalArticle

Cheong, Chin Wen ; Isa, Zaidi ; Md Nor, Abu Hassan Shaari. / Modelling financial observable-volatility using long memory models. In: Applied Financial Economics Letters. 2007 ; Vol. 3, No. 3. pp. 201-208.
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