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...
| Main Authors: | , |
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| Format: | Article |
| Language: | English |
| Published: |
Institute for Mathematical Research, Universiti Putra Malaysia
2014
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| Online Access: | http://psasir.upm.edu.my/id/eprint/38936/ http://psasir.upm.edu.my/id/eprint/38936/1/38936.pdf |
| _version_ | 1848849009789108224 |
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| author | Hasanov, Akram Shitan, Mahendran |
| author_facet | Hasanov, Akram Shitan, Mahendran |
| author_sort | Hasanov, Akram |
| building | UPM Institutional Repository |
| collection | Online Access |
| description | 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 alternative conditional distributions: Gaussian, Student t, generalized error distribution, and skewed Student t. The empirical results indicate that complex model specifications and distribution assumptions do not seem to outperform the simpler ones in terms of standard model selection criteria and numerical convergence. With regard to the conditional distributions, a symmetric fat-tailed distribution has been found to be preferred to Gaussian and asymmetric distribution in many cases. |
| first_indexed | 2025-11-15T09:43:35Z |
| format | Article |
| id | upm-38936 |
| institution | Universiti Putra Malaysia |
| institution_category | Local University |
| language | English |
| last_indexed | 2025-11-15T09:43:35Z |
| publishDate | 2014 |
| publisher | Institute for Mathematical Research, Universiti Putra Malaysia |
| recordtype | eprints |
| repository_type | Digital Repository |
| spelling | upm-389362015-09-04T13:22:48Z http://psasir.upm.edu.my/id/eprint/38936/ Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization Hasanov, Akram Shitan, Mahendran 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 alternative conditional distributions: Gaussian, Student t, generalized error distribution, and skewed Student t. The empirical results indicate that complex model specifications and distribution assumptions do not seem to outperform the simpler ones in terms of standard model selection criteria and numerical convergence. With regard to the conditional distributions, a symmetric fat-tailed distribution has been found to be preferred to Gaussian and asymmetric distribution in many cases. Institute for Mathematical Research, Universiti Putra Malaysia 2014-01 Article PeerReviewed application/pdf en http://psasir.upm.edu.my/id/eprint/38936/1/38936.pdf Hasanov, Akram and Shitan, Mahendran (2014) Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization. Malaysian Journal of Mathematical Sciences, 8 (1). pp. 15-34. ISSN 1823-8343; ESSN: 2289-750X http://einspem.upm.edu.my/journal/fullpaper/vol8/2.%20AKRAM%20&%20MAHENDRAN.pdf |
| spellingShingle | Hasanov, Akram Shitan, Mahendran Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization |
| title | Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization |
| title_full | Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization |
| title_fullStr | Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization |
| title_full_unstemmed | Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization |
| title_short | Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization |
| title_sort | volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed garch parameterization |
| url | http://psasir.upm.edu.my/id/eprint/38936/ http://psasir.upm.edu.my/id/eprint/38936/ http://psasir.upm.edu.my/id/eprint/38936/1/38936.pdf |