A novel time-varying FIGARCH model for improving volatility predictions

DOI10.1016/j.physa.2021.126635OpenAlexW3216957554MaRDI QIDQ2669287

Lu-Tao Zhao, Xuehui Chen, Xinru Zhang, Hongli Zhu

Publication date: 9 March 2022

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2021.126635

zbMATH Keywords

long memoryGARCHCaputo fractional derivativeFIGARCHS\&P 500Brent

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites Work

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• Testing for a unit root in time series regression
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• On a measure of lack of fit in time series models

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