Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266): Difference between revisions
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Revision as of 22:03, 19 March 2024
scientific article
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models |
scientific article |
Statements
Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (English)
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22 February 2011
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The tail index \(\alpha\) and long memory parameter \(d\) are estimated for stationary linear ARCH (LARCH) and fractionally integrated GARCH (FIGARCH) processes with heavy tailed marginal distributions and long memory. The estimates are based on the discrete wavelet transform (DWT). A confidence interval for \(\alpha\) is constructed. Results of simulations and an application to a financial data set are presented.
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fractionally integrated GARCH process
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heavy tails
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discrete wavelet transform
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tail index
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