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Alex Sandro Monteiro De Moraes,Antonio Carlos Figueiredo Pinto,Marcelo Cabus Klotzle
Pág. 394?437
This paper compares the performance of long-memory models (FIGARCH) with short-memory models (GARCH) in forecasting volatility for calculating value-at-risk (VaR) and expected shortfall (ES) for multiple periods ahead for six emerging markets stock indic...
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Serpil TURKYILMAZ,Mesut BALIBEY
Pág. 400 - 410
This study examines the weak-form market efficiency of Pakistan Stock Market namely Karachi Stock Exchange for the period 2010-2013. The efficiency of stock market has tested by using ARFIMA-FIGARCH models estimated under different distribution assumptio...
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Beatriz Vaz de Melo Mendes
Pág. pp. 251 - 265
It is now widespread the use of Value-at-Risk (VaR) as a canonical measure at risk. Most accurate VaR measures make use of some volatility model such as GARCH-type models. However, the pattern of volatility dynamic of a portfolio follows from the (univar...
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João Gabe,Marcelo Savino Portugal
Pág. pp. 47 - 73
The main goal this article was to find the best way of making forecast about future volatility using implicit or statistic forecast. The work is based on Telemar S.A. shares data from 21/09/1998 to 21/10/2002 and Telemar S.A. shares data from 2/10/2000 t...
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Rafik Nazarian,Esmaeil Naderi,Nadiya Gandali Alikhani,Ashkan Amiri
Pág. 16 - 26
This study is an attempt to review the theory and applications of autoregressive fractionally integrated moving average (ARFIMA) and fractionally integrated generalized autoregressive conditional heteroskedasticity (FIGARCH) models, mainly for the purpos...
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Onder Buberkoku
Pág. 36 - 50
This study examines the out-of-sample value-at-risk forecasting performance of the GARCH, FIGARCH, HYGARCH and FIAPARCH models for West Texas intermediate crude oil, Europe Brent crude oil, heating oil#2, propane and New York Harbour Conventional Gasolin...
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Talal A. N. M. S. Alotaibi and Lucía Morales
Global stock markets experienced a dual shock in 2020 due to the impact of the global health crisis, parallel to a simultaneous shock derived from the Saudi Arabia and Russia oil price war. The dual shock fueled oil market volatility with lasting effects...
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Mesut BALIBEY,Serpil TURKYILMAZ
Pág. 836 - 848
Value-at-Risk (VaR) is a standard tool for measuring potential risk of economic losses in financial markets. In this study, we examine the convenience of the FIGARCH (1, d, 1) and FIAPARCH (1, d, 1) models in evaluating asymmetry features and long memory...
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Hanna Zofia Kolodziejczyk
Pág. 7 - 16
Financial market participants are influenced by the news reaching them from all manner of sources, including the country?s central bank. In this paper we model daily returns of WIG20 index with respect to announcements made by the National Bank of Poland...
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Samet Günay
In this study, the performance of the Multifractal Model of Asset Returns (MMAR) was examined for stock index returns of four emerging markets. The MMAR, which takes into account stylized facts of financial time series, such as long memory, fat tails and...
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Samet Günay
Pág. 515 - 522
In this study, the parameters of chaos are analyzed for the leading emerging stock markets: Brazil, Russia, India, China, and Turkey (BRIC-T). As chaos has properties such as nonlinearity, sensitivity to initial conditions, and fractality, we performed d...
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Hanna Zofia Kolodziejczyk
Pág. 7 - 16
Financial market participants are influenced by the news reaching them from all manner of sources, including the country?s central bank. In this paper we model daily returns of WIG20 index with respect to announcements made by the National Bank of Poland...
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