Can GARCH Models Capture Long-Range Dependence?

DOI10.2202/1558-3708.1269MaRDI QIDQ3368398zbMATH OpenOpenAlexFDO

Authors John M. Maheu

Publication date 27 January 2006

Published in Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.2202/1558-3708.1269

zbMATH Keywords

component GARCHFIGARCHfractional integrationlong-memory

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

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