| Title |
Long memory modelling and statistical inference of commodity prices / |
| Translation of Title |
Žaliavų kainų ilgos atminties modeliavimas ir statistinė analizė. |
| Authors |
Graibus, Kristijonas |
| Full Text |
|
| Pages |
37 |
| Keywords [eng] |
Raktiniai žodžiai : Ilga atmintis, FIGARCH, HYGARCH, FIAPARCH, HYAPARCH, žaliavų kainos. Key words : Long memory, FIGARCH, HYGARCH, FIAPARCH, HYAPARCH, commodity prices |
| Abstract [eng] |
Commodity market, because of it’s impact on economy and growth, is important area of research. The main goal of this thesis is to analyse commodity price volatilities and their long memory properties. First, we are going to describe 4 long memory models: FIGARCH, HYGARCH, FIAPARCH, HYAPARCH and discuss their established properties from the literature. A corrected and simplified version of stationarity conditions for the HYAPARCH model is also provided. These models are applied to empirical data of 12 commodity futures returns and the estimated properties are discussed and compared. |
| Dissertation Institution |
Vilniaus universitetas. |
| Type |
Master thesis |
| Language |
English |
| Publication date |
2017 |
