ARFIMA-FIGARCH and ARFIMA -FIAPARCH on Thailand Volatility Index
ARFIMA-FIGARCH and ARFIMA -FIAPARCH on Thailand Volatility Index
Author(s): Songsak Sriboonchitta, Captain Chatayan WiphatthanananthakulSubject(s): Economy
Published by: S.E.I.F at Paris
Keywords: Volatility Index; Model Selection; Fractional Integrated; Price Forecasting; Time Series
Summary/Abstract: This paper applied SET50 Index options with the Chicago Board Options Exchange (CBOE) as a Thailand Volatility Index (TVIX). This can be considered as a hedging diversification tool because of the high negative correlation with stock index. In addition, we estimate ARFIMA-FIGARCH and ARFIMA-FIAPARCH which are capable of capturing long memory and asymmetry in the conditional variance and power transformed conditional variance of process. The empirical shows that the best model with accuracy is ARMA-FIAPARCH.
Journal: International Review of Applied Financial Issues and Economics
- Issue Year: 2010
- Issue No: 1
- Page Range: 193-212
- Page Count: 20
- Language: English
