Volatility processes and volatility forecast with long memory

DOI10.1088/1469-7688/4/1/007zbMATH Open1409.62219OpenAlexW3123119897MaRDI QIDQ4647598FDOQ4647598

Authors: G. Zumbach 

Publication date: 15 January 2019

Published in: Quantitative Finance (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1088/1469-7688/4/1/007

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zbMATH Keywords

long memoryvolatility forecast

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Inference from stochastic processes and prediction (62M20) Applications of statistics to actuarial sciences and financial mathematics (62P05)

Cites Work

• Generalized autoregressive conditional heteroscedasticity
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• ARCH modeling in finance. A review of the theory and empirical evidence
• Modeling volatility persistence of speculative returns: a new approach
• The detection and estimation of long memory in stochastic volatility
• Modelling the persistence of conditional variances
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM
• Varieties of long memory models
• Market heterogeneities and the causal structure of volatility
• Heterogeneous volatility cascade in financial markets

Cited In (17)

• Characterizing heteroskedasticity
• Stochastic regularization for the mean-variance allocation scheme
• TESTING FOR LONG MEMORY IN VOLATILITY
• Market heterogeneities and the causal structure of volatility
• The effect of long memory in volatility on location estimation
• Forecasting value-at-risk in turbulent stock markets via the local regularity of the price process
• Processes for stocks capturing their statistical properties from one day to one year
• VaR prediction under long memory in volatility
• Volatility conditional on price trends
• The Zumbach effect under rough Heston
• Volatility forecasts and at-the-money implied volatility: a multi-component ARCH approach and its relation to market models
• Forecasting volatility and volume in the Tokyo stock market: Long memory, fractality and regime switching
• Estimation of long memory in volatility using wavelets
• Turbulence on financial markets and multiplicative cascade model of volatility
• Overlaying time scales in financial volatility data
• Statistical methods for decision support systems in finance: how Benford's law predicts financial risk
• Combining long memory and level shifts in modelling and forecasting the volatility of asset returns

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