Can GARCH Models Capture Long-Range Dependence? (Q3368398)
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scientific article; zbMATH DE number 5002434
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| English | Can GARCH Models Capture Long-Range Dependence? |
scientific article; zbMATH DE number 5002434 |
Statements
Can GARCH Models Capture Long-Range Dependence? (English)
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27 January 2006
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component GARCH
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FIGARCH
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fractional integration
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long-memory
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0.8761017918586731
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0.8200792670249939
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0.8197382092475891
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0.8170506954193115
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