Modelling Financial Processes with Long Memory in Mean and Variance

• Autorzy: Piotr Fiszeder
• Języki publikacji: EN

Abstrakty

EN

ARFIMA and FIGARCH models are characterized in the paper. In empirical part of the article selected financial time series are analysed. For many time series IGARCH model was the best in modelling volatility. However it seems that models selected on the grounds of the Bayesian information criterion are too restrictively parameterised and in many cases they are modelling volatility of empirical returns worse than the GARCH or FIGARCH models.(fragment of text)

Słowa kluczowe

EN

Economic process modeling; Econometric modeling; Econometric models; Autoregressive fractionally integrated moving average model (ARFIMA); GARCH model

PL

Modelowanie procesów gospodarczych; Modelowanie ekonometryczne; Modele ekonometryczne; Model ARFIMA; Model GARCH

• Czasopismo: Dynamic Econometric Models
• Rocznik: 2006
• Tom: 7
• Strony: 133--142

Twórcy

autor

Piotr Fiszeder

• Nicolaus Copernicus University in Toruń, Poland

Bibliografia

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