ARFIMAX and ARFIMAX-TARCH realized volatility modeling

DOI10.1080/02664760802271017MaRDI QIDQ3183838zbMATH OpenOpenAlexFDO

Authors Stavros Degiannakis

Publication date 21 October 2009

Published in Journal of Applied Statistics (Search for Journal in Brave)

Full work available at URL https://mpra.ub.uni-muenchen.de/80465/1/MPRA_paper_80465.pdf

zbMATH Keywords

volatility forecasting

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05)

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Cites work

• Consistent ranking of volatility models
• Estimating the dimension of a model
• Long memory relationships and the aggregation of dynamic models
• The Distribution of Realized Exchange Rate Volatility

Cited in

(7)

• Financial modelling, risk management of energy instruments and the role of cryptocurrencies
• Integration of CARMA processes and spot volatility modelling
• Evaluation of realized volatility predictions from models with leptokurtically and asymmetrically distributed forecast errors
• Forecasting realised volatility using ARFIMA and HAR models
• scientific article; zbMATH DE number 7734368 (Why is no real title available?)
• Modelling extreme risk spillovers in the commodity markets around crisis periods including COVID19
• An introduction to volatility models with indices

Describes a project that uses

Uses Software

• ARFIMA

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