Volatility model estimations of palm oil price returns via long-memory, asymmetric and heavy-tailed GARCH parameterization

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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...

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Bibliographic Details
Main Authors:	Hasanov, Akram, Shitan, Mahendran
Format:	Article
Language:	English
Published:	Institute for Mathematical Research, Universiti Putra Malaysia 2014
Online Access:	http://psasir.upm.edu.my/id/eprint/38936/ http://psasir.upm.edu.my/id/eprint/38936/1/38936.pdf

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