Volatility forecast with long memory : evidence from Jordan stock market
المؤلف
المصدر
Mu'tah Journal for Research and Studies : Natural and Applied Sciences Series
العدد
المجلد 21، العدد 3 (31 ديسمبر/كانون الأول 2006)، ص ص. 43-58، 16ص.
الناشر
تاريخ النشر
2006-12-31
دولة النشر
الأردن
عدد الصفحات
16
التخصصات الرئيسية
الملخص EN
Various volatility estimators and models have been proposed in the literature to measure volatility of asset returns.
The particular emphasis of this paper is on assessing empirical performance of various long memory models (ARFIMA, FIGARCH models, and MF multi-fractal model which is recently been introduced as a new model) in comparison to short memory such as GARCH model, using time-series data from 1987-2004 of 90 stocks with largest average trading volume which were traded on the Amman Stock Exchange (ASE).
Since long memory models have a particular advantage over long forecasting horizons, we consider predictions of volatility models by one-day, five-day, ten-day, one-moth, two-moth, and three-month ahead.
Two different measures arc used to evaluate the forecast accuracy, RMSE and RMAE.
Our results indicate that conditional volatility (ARFIMA .FIGARCH and MF models) dominate over GARCH model.
However, while FIGARCH and ARFIMA also have a number of oases with dramatic failure of their forcoast, the MF model does not suffer from this shortcoming and its performance practically always improves upon the naive foreoast provided by historical volatility.
نمط استشهاد جمعية علماء النفس الأمريكية (APA)
Hilan, Mahmud. 2006. Volatility forecast with long memory : evidence from Jordan stock market. Mu'tah Journal for Research and Studies : Natural and Applied Sciences Series،Vol. 21, no. 3, pp.43-58.
https://search.emarefa.net/detail/BIM-285803
نمط استشهاد الجمعية الأمريكية للغات الحديثة (MLA)
Hilan, Mahmud. Volatility forecast with long memory : evidence from Jordan stock market. Mu'tah Journal for Research and Studies : Natural and Applied Sciences Series Vol. 21, no. 3 (2006), pp.43-58.
https://search.emarefa.net/detail/BIM-285803
نمط استشهاد الجمعية الطبية الأمريكية (AMA)
Hilan, Mahmud. Volatility forecast with long memory : evidence from Jordan stock market. Mu'tah Journal for Research and Studies : Natural and Applied Sciences Series. 2006. Vol. 21, no. 3, pp.43-58.
https://search.emarefa.net/detail/BIM-285803
نوع البيانات
مقالات
لغة النص
الإنجليزية
الملاحظات
Includes bibliographical references : p. 57-58
رقم السجل
BIM-285803
قاعدة معامل التأثير والاستشهادات المرجعية العربي "ارسيف Arcif"
أضخم قاعدة بيانات عربية للاستشهادات المرجعية للمجلات العلمية المحكمة الصادرة في العالم العربي
تقوم هذه الخدمة بالتحقق من التشابه أو الانتحال في الأبحاث والمقالات العلمية والأطروحات الجامعية والكتب والأبحاث باللغة العربية، وتحديد درجة التشابه أو أصالة الأعمال البحثية وحماية ملكيتها الفكرية. تعرف اكثر