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- W2550820144 abstract "The volatility of T-Bond futures returns are examined by two long memory models, FIGARCH (1, d, 1) and HYGARCH (1, d, 1), with two different innovations distributions: normal and skewed Student-t distributions. The VaRs are calculated by the two fitted models and the empirical evidences are in favor of the HYGARCH (1, d, 1) with skewed student-t innovations based on the Kupiec LR tests. As a result, HYGARCH (1, d, 1) model nicely captures the fat-tail behavior exhibited in the T-Bond futures returns." @default.
- W2550820144 created "2016-11-30" @default.
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- W2550820144 date "2007-01-01" @default.
- W2550820144 modified "2023-09-23" @default.
- W2550820144 title "Long Memory in Volatility of T-Bond Futures Markets: A Value-at Risk Approach" @default.
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