On the Autocorrelation Properties of Long‐Memory GARCH Processes

DOI10.1046/J.0143-9782.2003.00349.XzbMATH Open1051.62076OpenAlexW3121666900MaRDI QIDQ4828181FDOQ4828181

Authors: 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

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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)

Cites Work

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

Cited In (18)

• On the Transmission of Memory in Garch‐in‐Mean Models
• Fractionally integrated time varying GARCH model
• Limit theory for the sample autocorrelations and extremes of a GARCH \((1,1)\) 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
• A multivariate volatility vine copula model
• Stability conditions for heteroscedastic factor models with conditionally autoregressive betas
• Identification of long memory in GARCH models
• The long memory HEAVY process: modeling and forecasting financial volatility
• Non-negativity conditions for the hyperbolic GARCH model
• To infinity and beyond: efficient computation of ARCH\((\infty)\) models
• Title not available (Why is that?)
• Analysis of the correlation structure of square time series
• The impulse response function of the long memory GARCH process
• Covariance stationary GARCH-family models with long memory property
• Properties of the Autocorrelation Function of Squared Observations for Second-order Garch Processes Under Two Sets of Parameter Constraints
• Volatility Components and Long Memory-Effects Revisited
• Volatility processes and volatility forecast with long memory

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