In this paper, we propose a new stochastic volatility model, called A-LMSV, to cope simultaneously with the leverage effect and long-memory. We derive its statistical properties and compare them with the properties of the FIEGARCH model. We show that the dependence of the autocorrelations of squares on the parameters measuring the asymmetry and the persistence is different in both models. The k...

Recent research suggests that long memory can be caused by regime switching and is easily confused with it. However, if the causes of confusion were properly controlled, they could distinguished. Motivated this idea, our study aims to distinguish between financial volatility. We firstly modeled volatility using Fractionally Integrated Exponential GARCH (FIEGARCH) Markov Regime-Switching EGARCH ...

South Africa is a cornucopia of the platinum group metals particularly platinum and palladium. These metals have many unique physical and chemical characteristics which render them indispensable to technology and industry, the markets and the medical field. In this paper we carry out a holistic investigation on long memory (LM), structural breaks and stylized facts in platinum and palladium ret...

In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) process. It is defined in such a way that it is a continuous time extension of the discrete time FIEGARCH(p, d, q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volatility propagates to the volatility pr...

We consider semiparametric estimation of the memory parameter in a model which includes as special cases both the long-memory stochastic volatility (LMSV) and fractionally integrated exponential GARCH (FIEGARCH) models. Under our general model the logarithms of the squared returns can be decomposed into the sum of a long-memory signal and a white noise. We consider periodogram-based estimators ...

this paper examines the impact of 2005 presidential election of iran on the tehran stock exchange volatility as a political shock. it uses garch family (fiegarch, egarch, and garch) and markov regime switching (mrs) models as the analytical frameworks for the main the stock daily prices index. our findings confirm statistical validity of arima – fiegarch-x and ar(1) mrs as appropriate specifica...