Modeling Long Memory in Volatility for Spot Price of Lentil with Multi-step Ahead Out-of-sample Forecast Using AR-FIGARCH Model

The potential presence of long memory (LM) properties in return and volatility of the spot price of lentil in Indore market has been investigated. Geweke and Porter-Hudak (1983) (GPH) method has been applied to test for presence of long range dependence in the volatility processes for the series. St...

Ausführliche Beschreibung

Gespeichert in:

Bibliographische Detailangaben
Veröffentlicht in:	Economic affairs (Calcutta) 2015-09, Vol.60 (3), p.457-466
Hauptverfasser:	Paul, Ranjit Kumar, Paul, A.K, Gurung, Bishal, Samanta, Sandipan
Format:	Artikel
Sprache:	eng
Schlagworte:	Agricultural commodities Conditional heteroscedastic Exports Forecasting Lagrange multiplier Legumes lentil price Market prices Prices return series stationarity Stochastic models Studies Time series validation Volatility
Online-Zugang:	Volltext
Tags:	Tag hinzufügen Keine Tags, Fügen Sie den ersten Tag hinzu!

Schreiben Sie den ersten Kommentar!