Category Archives: FIGARCH

Volatility Forecasting in Emerging Markets

The great majority of empirical studies have focused on asset markets in the US and other developed economies.   The purpose of this research is to determine to what extent the findings of other researchers in relation to the characteristics of … Continue reading

Posted in Asian markets, Cointegration, Econometrics, Emerging Markets, FIGARCH, Forecasting, Fractional Cointegration, Fractional Integration, Granger Causality, Hurst Exponent, Long Memory, REGARCH | Tagged , , , , , , , , , , | Comments Off

Long Memory and Regime Shifts in Asset Volatility

This post covers quite a wide range of concepts in volatility modeling relating to long memory and regime shifts. The post discusses autocorrelation, long memory, fractional integration, black noise, white noise, Hurst Exponents, regime shift detections, Asian markets and various topics froms nonlinear dynamics. Continue reading

Posted in ARFIMA, Asian markets, Black Noise, Correlation Dimension, Correlation Integral, FIGARCH, Forecasting, Fractional Brownian Motion, Fractional Integration, Henon Attractor, Hurst Exponent, Logistic Attractor, Long Memory, Modeling, Nonlinear Dynamics, Pink Noise, Regime Shifts, Strange Attractor, Uncategorized, Volatility Modeling, White Noise | Tagged , , , , , , , , , , , , | Comments Off