A novel time-varying FIGARCH model for improving volatility predictions

DOI10.1016/J.PHYSA.2021.126635MaRDI QIDQ2669287zbMATH OpenOpenAlexFDO

Authors Xuehui Chen, Hongli Zhu, X. R. Zhang, Lu-Tao Zhao

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

BrentCaputo fractional derivativeFIGARCHGARCHlong memoryS\&P 500

Mathematics Subject Classification ID

Statistical mechanics, structure of matter (82-XX)

Cites work

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Cited in

(3)

• A data-dependent approach to modeling volatility in financial time series
• News augmented GARCH(1,1) model for volatility prediction
• scientific article; zbMATH DE number 5022019 (Why is no real title available?)

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