Fractionally integrated generalized autoregressive conditional heteroskedasticity (Q1126491)
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scientific article; zbMATH DE number 955406
| Language | Label | Description | Also known as |
|---|---|---|---|
| default for all languages | No label defined |
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| English | Fractionally integrated generalized autoregressive conditional heteroskedasticity |
scientific article; zbMATH DE number 955406 |
Statements
Fractionally integrated generalized autoregressive conditional heteroskedasticity (English)
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14 July 1997
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mean-reversion
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Monte Carlo simulations
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exchange rate volatility
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financial time series
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fractionally integrated generalized autoregressive conditionally heteroskedastic processes
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conditional variance
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hyperbolic rate of decay
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lagged squared innovations
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maximum likelihood estimates
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FIGARCH
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small sample behavior
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GARCH model
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IGARCH
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0.8683487772941589
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0.8407343626022339
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0.8406451344490051
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0.8279272317886353
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