Modelling financial observable-volatility using long memory models

Chin Wen Cheong, Zaidi Isa and Abu Hassan Shaari Mohd Nor

Applied Financial Economics Letters, 2007, vol. 3, issue 3, 201-208

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.

Date: 2007
References: Add references at CitEc
Citations:

Downloads: (external link)
http://hdl.handle.net/10.1080/17446540601018949 (text/html)
Access to full text is restricted to subscribers.

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:taf:raflxx:v:3:y:2007:i:3:p:201-208

Ordering information: This journal article can be ordered from
http://www.tandfonline.com/pricing/journal/rafl20

DOI: 10.1080/17446540601018949

Access Statistics for this article

Applied Financial Economics Letters is currently edited by Anita Phillips

More articles in Applied Financial Economics Letters from Taylor & Francis Journals
Bibliographic data for series maintained by Chris Longhurst ().