Modeling volatility with time-varying FIGARCH models

Belkhouja, Mustapha; Boutahary, Mohamed

doi:10.1016/j.econmod.2010.11.017

Cited by 29 publications

(15 citation statements)

References 25 publications

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“…Chang et al [77] suggest that the FIGARCH(1,d,1) model outperforms its GARCH(1,1) counterpart (see also Ho et al [14]). Since the introduction of the model, many significant empirical studies on long memory have emerged in the existing literature [14,[78][79][80][81]. In this study, we adopt FIGARCH to investigate the long-term memory in the conditional volatility of the stock return and how volatility persistence is affected by a firm's sustainability news releases and other firm-specific general news releases.…”

Section: Methodology and Model Specificationmentioning

confidence: 99%

Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

2018

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This paper examines the impact of firms' sustainability engagement on their stock returns and volatility by employing the EGARCH and FIGARCH models using data from the major financial firms listed in the Chinese stock market. We find evidence of a positive association between sustainability engagement and stock returns, suggesting firms' sustainability news release in favour of the market. Although volatility persistence can largely be explained by news flows, the results show that sustainability news release has the significant and largest drop in volatility persistence, followed by popularity in Google search engine and the general news. Sustainability news release is found to affect positively stock return volatility. We also find evidence that market expectation can be driven by the dominant social paradigm when sustainability is included. These findings have important implications for market efficiency and effective portfolio management decisions.

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Section: Methodology and Model Specificationmentioning

confidence: 99%

Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

2018

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“…Arouri et al (2011) investigate the six countries members of the Gulf Cooperation Council (GCC) from 2005 to 2010 and find the existence of significant return and volatility spillovers between world oil prices and GCC stock markets. Belkhouja and Boutahary (2011) argued that the long memory behavior of the crude oil absolute returns is not only explained by the existence of the long memory in the volatility but also by deterministic changes in the unconditional variance. Hasan and Ratti (2012) argue that oil price volatility influence stock prices through affecting expected cash flows and discount rates since oil is an input in production.…”

Section: Literature Reviewmentioning

confidence: 99%

Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis

Ural

2016

Sosyoekonomi

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In recent years and global financial crisis period, oil prices are characterized by high volatilities. The aim of this paper is to evaluate the comparative performance of volatility models and to reveal the effects of global financial crisis on volatility by using daily returns of crude oil prices. According to the sample periods, the results of models highlight that APGARCH and FIAPGARCH models with Student-t and Skewed Student-t distributions best fit oil prices. Furthermore, when considering the global financial crisis, the results show that the crude oil prices are characterized by high volatilities and have long memory effects, as expected. Keywords: Crude Oil, Volatility, Asymmetry, Long Memory. JEL Classification Codes : C22, C52, Q43. ÖzSon yıllarda ve küresel finansal kriz döneminde, petrol fiyatları yüksek oynaklık düzeyleriyle nitelendirilmektedir. Bu çalışmanın amacı, ham petrol fiyatlarının günlük getirilerini kullanarak oynaklık modellerinin karşılaştırmalı performansını değerlendirmek ve küresel krizin oynaklık üzerindeki etkisini incelemektir. Farklı örneklem dönemleri dikkate alındığında, modellerin tahmin sonuçları petrol fiyatlarının en uygun biçimde Student-t ve Çarpık Student-t dağılımlı APGARCH ve FIAPGARCH modelleriyle yorumlandığını vurgulamaktadır. Ayrıca, küresel finansal kriz göz önüne alındığında sonuçlar, beklendiği gibi ham petrol fiyatlarının yüksek oynaklıklarla nitelendirildiğini ve uzun hafıza etkilerine sahip olduğunu göstermektedir.

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“…We introduce volatility models to capture the effect of long memory and structural breaks separately and then jointly. As we only present three alternative long memory models with variance shift, it should be noted that several other models exist (Ben Nasr et al, 2010, Klç, 2011, Belkhouja & Boutahary, 2011, Shi & Ho, 2015. …”

Section: Methodsmentioning

confidence: 99%

True or spurious long memory in European non-EMU currencies

Walther

Klein

Thu

et al. 2017

Research in International Business and Finance

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We examine the Croatian Kuna, the Czech Koruna, the Hungarian Forint, the Polish Z loty, the Romanian Leu, and the Swedish Krona whether their Euro exchange rates volatility exhibits true or spurious long memory. Recent research reveals long memory in foreign exchange rate volatility and we confirm this finding for these currency pairs by examining the long memory behavior of squared residuals by means of the V/S test. However, by using the ICSS approach we also find structural breaks in the unconditional variance. Literature suggests that structural breaks might lead to spurious long memory behavior. In a refined test strategy, we distinguish true from spurious long memory for the six exchange rates. Our findings suggest that Czech Koruna and Hungarian Forint only feature spurious long memory, while the rest of the series have both structural breaks and true long memory. Lastly, we demonstrate how to extend existing models to jointly model both properties yielding superior fit and better Value-at-Risk forecasts. The results of our work help to avoid misspecification and provide a better understanding of the properties of the foreign exchange rate volatility.

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Modeling volatility with time-varying FIGARCH models

Cited by 29 publications

References 25 publications

Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

Does Sustainability Engagement Affect Stock Return Volatility? Evidence from the Chinese Financial Market

Modelling Crude Oil Price Volatility and the Effects of Global Financial Crisis

True or spurious long memory in European non-EMU currencies

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