Modeling and Forecasting the Volatility of Eastern European Emerging Markets
Sang Hoon Kang () and
Seong-Min Yoon ()
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Sang Hoon Kang: Gyeongsang National University
East Asian Economic Review, 2009, vol. 13, issue 1, 113-132
This study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, naThis study has attempted to seek a volatility forecasting model that can reflect sufficiently the long memory characteristic in the volatility of four Eastern European emerging stock markets, namely, Hungary, Poland, Russia, and Slovakia. From the results of our empirical analysis, we found that the FIGARCH model is better equipped to capture the long memory property in the volatility of these markets than the GARCH and IGARCH models. More importantly, the FIGARCH model is found to provide superior performance in one-day-ahead volatility forecasts. Thus, this study recommends researchers, portfolio managers, and traders to use the long memory FIGARCH model in analyzing and forecasting the volatility dynamics of Eastern European emerging markets.
Keywords: Eastern European; Emerging Market; Volatility; Long Memory; FIGARCH; DM Test (search for similar items in EconPapers)
JEL-codes: C22 C52 G12 (search for similar items in EconPapers)
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Persistent link: https://EconPapers.repec.org/RePEc:ris:eaerev:0126
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