Fractionally integrated generalized autoregressive conditional heteroskedasticity

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Publication:1126491

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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 simulations maximum likelihood estimates mean-reversion exchange rate volatility financial time series conditional variance GARCH model FIGARCH IGARCH small sample behavior fractionally integrated generalized autoregressive conditionally heteroskedastic processes hyperbolic rate of decay lagged 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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