Can GARCH Models Capture Long-Range Dependence?

DOI10.2202/1558-3708.1269zbMath1082.62541OpenAlexW2069514895MaRDI QIDQ3368398

John M. Maheu

Publication date: 27 January 2006

Published in: Studies in Nonlinear Dynamics & Econometrics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2202/1558-3708.1269

zbMATH Keywords

fractional integrationlong-memoryFIGARCHcomponent GARCH

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items

A higher-order hidden Markov chain-modulated model for asset allocation ⋮ Asymmetric multivariate normal mixture GARCH ⋮ The influence of heteroskedastic variances on cointegration tests: a comparison using Monte Carlo simulations ⋮ A GMM procedure for combining volatility forecasts