Fractionally integrated generalized autoregressive conditional heteroskedasticity
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Publication:1126491
DOI10.1016/S0304-4076(95)01749-6zbMATH Open0865.62085MaRDI QIDQ1126491FDOQ1126491
Authors: Richard T. Baillie, Tim Bollerslev, Hans Ole Mikkelsen 
Publication date: 14 July 1997
Published in: Journal of Econometrics (Search for Journal in Brave)
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financial time seriesGARCH modelMonte Carlo simulationsmaximum likelihood estimatesconditional varianceFIGARCHmean-reversionIGARCHsmall sample behaviorexchange rate volatilityfractionally integrated generalized autoregressive conditionally heteroskedastic processeshyperbolic rate of decaylagged squared innovations
Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20) Economic time series analysis (91B84)
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