Jin, Hyun Joung - In: Journal of Rural Development/Nongchon-Gyeongje 31 (2008) 2
models, nested in an ARMA(p,q)- FIGARCH(P,D,Q), to capture dependence of grain cash price volatility and compares the …-t density intended to account for fat-tailed properties of the data. We find suitability of the FIGARCH type models under the … student-t distribution and competitiveness of the parsimonious FIGARCH(1,d,0) for modeling long memory volatility. …