2 citations · 2 across the 2 of their papers we have counts for
2 papers
math.ST2018
On Time-Varying Amplitude HGARCH Mode
Ferdous Mohammadi Basatini, Saeid Rezakhah
The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well.…
stat.CO2017★ 2 cited
Smooth Transition HYGARCH Model: Stability and Forecasting
Ferdous Mohammadi, Saeid Rezakhah
HYGARCH process is the commonly used long memory process in modeling the long-rang dependence in volatility. Financial time series are characterized by transition between phases of…