Arouri, Mohamed El Hedi; Lahiani, Amine; Duc, Khuong Nguyen - Development and Policies Research Center (Depocen) - 2010
conditional volatility of oil spot and futures prices using three GARCH-type models, i.e., linear GARCH, GARCH with structural … breaks and FIGARCH. By relying on a modified version of Inclan and Tiao (1994)’s iterated cumulative sum of squares (ICSS … GARCH-based conditional volatility processes for energy prices. Second, long memory is effectively present in all the series …
