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/38936/1/38936.pdf |