Fractionally integrated generalized autoregressive conditional heteroskedasticity

DOI10.1016/S0304-4076(95)01749-6zbMath0865.62085MaRDI QIDQ1126491

Tim Bollerslev, Hans Ole Mikkelsen, Richard T. Baillie

Publication date: 14 July 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

zbMATH Keywords

Monte Carlo simulationsmaximum likelihood estimatesmean-reversionexchange rate volatilityfinancial time seriesconditional varianceGARCH modelFIGARCHIGARCHsmall sample behaviorfractionally integrated generalized autoregressive conditionally heteroskedastic processeshyperbolic rate of decaylagged squared innovations

Mathematics Subject Classification ID

Applications of statistics to economics (62P20) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Economic time series analysis (91B84)

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