Developing Exp-FIGARCH Hybrid Models for Time Series Modelling
Sanusi Alhaji Jibrin,
Abdulhameed Ado Osi,
Shukurana Shehu
Abstract:In this paper, we introduced a new hybrid model namely Exponential Autoregressive-Fractional Integrated Generalized Autoregressive Conditional Heteroscedasticity (ExpAR-FIGARCH) model and study financial data. The Daily Nigeria All Share Stock Index that exhibit nonlinear, volatility and long memory effect were analyzed in the study. The existing ExpAR-Generalized Autoregressive Conditional Heteroscedasticity (ExpAR-GARCH) model were estimated and compared with the proposed ExpAR-FIGARCHmodel. Results showe… Show more
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