Estimation and Forecasting of Volatility Stock Indexes Based on FIGARCH Model
Jin-Li Guo · Journal of Northwest A&F University · 2006
FIGARCH model is introduced and parameters of the model including different distribution characteristics are discussed in this paper.The comparison of capturing and forecasting abilities among FIGARCH model disclosing long memory characteristic,GRACH and IGARCH model without describing long memory are disclosed based on stock indexes data in Shanghai and Shenzhen stock market.The empirical results show that asymmetry t distribution and generalized error distribution apply to illustrate volatility in Chinese stock market,and FIGARCH model is better than GARCH and IGARCH models in capturing and forecasting abilities.