Change search
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf
Conditional Heteroskedasticity in Long Memory Model ‘FIMACH’ for Return Volatilities in Equity Markets
Blekinge Institute of Technology, Faculty of Engineering, Department of Industrial Economics. Blekinge Tekniska Högskola.ORCID iD: 0000-0002-7277-9151
Swansea University, GBR.ORCID iD: 0000-0002-6342-8309
2019 (English)In: THEORY AND APPLICATIONS OF TIME SERIES ANALYSIS / [ed] Valenzuela, O; Rojas, F; Pomares, H; Rojas, I, Springer, 2019, Vol. 2, p. 149-169, article id 177Conference paper, Published paper (Refereed)
Abstract [en]

This paper incorporates conditional heteroscedasticity properties in the long memory model and applies the model on squared returns of BRICS (Brazil, Russia, India, China, and South Africa), UK and USA equity markets to capture the volatility of stock return. The conditional first- and second-order moments are provided. The CLS, FGLS and QML are discussed and 2SQML estimator is proposed. The simulation study suggests that the proposed 2SQML estimator performs better than the other three estimators. Both in simulation and empirical studies, we find that the proposed model FIMACH outperforms FIGARCH in terms of eliminating serial correlations.

Place, publisher, year, edition, pages
Springer, 2019. Vol. 2, p. 149-169, article id 177
Series
Contributions to Statistics, ISSN 1431-1968
Keywords [en]
Long Memory Conditional Heteroskedastic Model, Return Volatility.
National Category
Economics
Identifiers
URN: urn:nbn:se:bth-17211DOI: 10.1007/978-3-030-26036-1_11ISI: 000578472600011ISBN: 978-3-030-26036-1 (print)OAI: oai:DiVA.org:bth-17211DiVA, id: diva2:1260316
Conference
International Conference on Time Series and Forecasting (ITISE) 2018,Granada
Available from: 2018-11-01 Created: 2018-11-01 Last updated: 2020-11-13Bibliographically approved

Open Access in DiVA

fulltext(687 kB)529 downloads
File information
File name FULLTEXT01.pdfFile size 687 kBChecksum SHA-512
95c8c718dcf33731c876dd052753ee7839569d4290e7ae2d63e86775a8b45de1626dc90b8b2bb3f1e168c9939dc6f32a473d00d4da010abb4809a48b12cdb346
Type fulltextMimetype application/pdf

Other links

Publisher's full text

Authority records

Quoreshi, Shahiduzzaman

Search in DiVA

By author/editor
Quoreshi, ShahiduzzamanMollah, Sabur
By organisation
Department of Industrial Economics
Economics

Search outside of DiVA

GoogleGoogle Scholar
Total: 530 downloads
The number of downloads is the sum of all downloads of full texts. It may include eg previous versions that are now no longer available

doi
isbn
urn-nbn

Altmetric score

doi
isbn
urn-nbn
Total: 503 hits
CiteExportLink to record
Permanent link

Direct link
Cite
Citation style
  • apa
  • ieee
  • modern-language-association-8th-edition
  • vancouver
  • Other style
More styles
Language
  • de-DE
  • en-GB
  • en-US
  • fi-FI
  • nn-NO
  • nn-NB
  • sv-SE
  • Other locale
More languages
Output format
  • html
  • text
  • asciidoc
  • rtf