Fractionally integrated generalized autoregressive conditional heteroskedasticity

DOI10.1016/S0304-4076(95)01749-6zbMATH Open0865.62085MaRDI QIDQ1126491FDOQ1126491

Tim Bollerslev, Hans Ole Mikkelsen, Richard T. Baillie

Publication date: 14 July 1997

Published in: Journal of Econometrics (Search for Journal in Brave)

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zbMATH Keywords

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

Mathematics Subject Classification ID

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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Cited In (only showing first 100 items - show all)

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• Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach
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• Forecasting exchange rate volatility.
• Issues in the estimation of mis-specified models of fractionally integrated processes
• A wavelet-based approach for modelling exchange rates

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