A model for long memory conditional heteroscedasticity. (Q1872488): Difference between revisions
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Revision as of 06:00, 5 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | A model for long memory conditional heteroscedasticity. |
scientific article |
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A model for long memory conditional heteroscedasticity. (English)
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6 May 2003
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For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence \(r_t\) is the square of an inhomogeneous linear combination of \(r_s, s < t\), we give conditions under which, for integers \(l \geq 2, r_t^l\) has long memory autocorrelation and normalized partial sums of \(r_t^l\) converge to fractional Brownian motion.
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ARCH processes
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long memory
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Volterra series
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diagrams
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central limit theorem
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fractional Brownian motion
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