Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization
This study attempts to model the volatility of palm oil price returns via a number of Generalized Autoregressive Conditional Heteroskedasticity class of models that capture the long-range memory, asymmetry, and heavy-tailedness phenomena. These models have been estimated in the presence of four alte...
Saved in:
| Main Authors: | , |
|---|---|
| Format: | Article |
| Language: | English |
| Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2014
|
| Online Access: | http://psasir.upm.edu.my/id/eprint/38936/1/38936.pdf http://psasir.upm.edu.my/id/eprint/38936/ http://einspem.upm.edu.my/journal/fullpaper/vol8/2.%20AKRAM%20&%20MAHENDRAN.pdf |
| Tags: |
Add Tag
No Tags, Be the first to tag this record!
|