Estimation and Prediction of Commodity Returns Using Long Memory Volatility Models
Kisswell Basira,
Lawrence Dhliwayo,
Knowledge Chinhamu
et al.
Abstract:Modelling the volatility of commodity prices and creating more reliable models for estimating and forecasting commodity price returns are crucial. The body of research on statistical models that can fully reflect the empirical characteristics of commodity price returns is lacking. The main aim of this research was to develop a modelling framework that could be used to accurately estimate and forecast commodity price returns by combining long memory models with heavy-tailed distributions. This study employed du… Show more
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