the price volatility spillover effect indicates that price volatility in different markets can be mutually affected. the objective of the study is to analyze volatility price spillover effects on the vertical levels including input, wholesale and retail sale levels in the tehran beef supply chain. the multivariate generalized autoregressive conditional heteroskedastic (mvgarch) model was used b...

We consider maximum likelihood estimation of a particular noninvertible ARMA model with autoregressive conditionally heteroskedastic (ARCH) errors. The model can be seen as an extension to so-called all-pass models in that it allows for autocorrelation and for more flexible forms of conditional heteroskedasticity. These features may be attractive especially in economic and financial application...

We study asymptotic properties of the local Whittle estimator of the long memory parameter for a wide class of fractionally integrated nonlinear time series models+ In particular, we solve the conjecture posed by Phillips and Shimotsu ~2004, Annals of Statistics 32, 656–692! for Type I processes under our framework, which requires a global smoothness condition on the spectral density of the sho...

Forecasting of silicon content in blast furnace (BF) hot metal has always been an important tool in the control of iron-making process. To get an accurate prediction of silicon content is an urgent task for BF operators. The approach based on generalized autoregressive conditional heteroskedastic (GARCH) has been introduced to predict step-ahead silicon content in BF hot metal. The algorithm ha...

This paper studies the stability of nonlinear autoregressive models with conditionally heteroskedastic errors. We consider a nonlinear autoregression of order p (AR(p)) with the conditional variance specified as a nonlinear first order generalized autoregressive conditional heteroskedasticity (GARCH(1,1)) model. Conditions under which the model is stable in the sense that its Markov chain repre...

The aim of this study was to investigate the asymmetric effects of exchange rate fluctuations on Stock index of Tehran Stock Exchange. For this purpose, we first calculated the exchange rate fluctuations using model General Autoregressive Conditional Heteroskedastic (GARCH), and then the effect of these fluctuations on the Stock index of Tehran Stock Exchange was estimated using the Generalized...

This paper develops a exible parametric approach to capture asymmetry and excess kurtosis along with conditional heteroskedasticity with a general family of distributions for analyzing stock returns data. Engle's (1982) autoregressive conditional heteroskedastic (ARCH) model and its various generalizations can account for many of the stylized facts, such as fat tails and volatility clustering. ...