On the Autocorrelation Properties of Long‐Memory GARCH Processes

DOI10.1046/j.0143-9782.2003.00349.xzbMath1051.62076OpenAlexW3121666900MaRDI QIDQ4828181

Martin Sola, Menelaos Karanasos, Zacharias Psaradakis

Publication date: 24 November 2004

Published in: Journal of Time Series Analysis (Search for Journal in Brave)

Full work available at URL: https://www.utdt.edu/download.php?fname=_116465882066315900.pdf

zbMATH Keywords

autocorrelation propertiesfractionally integrated GARCH processeslong-memory GARCH processes

Mathematics Subject Classification ID

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

Related Items (10)

A multivariate volatility vine copula model ⋮ The impulse response function of the long memory GARCH process ⋮ A note on the properties of power-transformed returns in long-memory stochastic volatility models with leverage effect ⋮ Modelling long memory and structural breaks in conditional variances: an adaptive FIGARCH approach ⋮ Non-negativity conditions for the hyperbolic GARCH model ⋮ Covariance stationary GARCH-family models with long memory property ⋮ The long memory HEAVY process: modeling and forecasting financial volatility ⋮ Stability conditions for heteroscedastic factor models with conditionally autoregressive betas ⋮ To infinity and beyond: Efficient computation of ARCH(∞) models ⋮ Fractionally integrated time varying GARCH model

Cites Work

• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• The detection and estimation of long memory in stochastic volatility
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Modeling volatility persistence of speculative returns: a new approach
• Averaged Periodogram Spectral Estimation with Long-memory Conditional Heteroscedasticity
• LONG AND SHORT MEMORY CONDITIONAL HETEROSKEDASTICITY IN ESTIMATING THE MEMORY PARAMETER OF LEVELS
• STATIONARY ARCH MODELS: DEPENDENCE STRUCTURE AND CENTRAL LIMIT THEOREM

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