log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. For the purpose, daily values of 38 indices … of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …

price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …

the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …