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IGARCH Effects: An Interpretation

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Author Info
Morana, C
Abstract

This article shows how IGARCH effects can arise as an artifact of unaccounted structural change. Using daily returns for the DM/US$ and Yen/US$ exchange rates, the finding is shown to have empirical relevance. GARCH models appear to be useful approximations, for short-term forecasting, to a data generating process that shows time varying conditional variance due to switching heteroscedasticity. Copyright 2002 by Taylor and Francis Group

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Article provided by Taylor and Francis Journals in its journal Applied Economics Letters.

Volume (Year): 9 (2002)
Issue (Month): 11 (September)
Pages: 745-48
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Handle: RePEc:taf:apeclt:v:9:y:2002:i:11:p:745-48

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  1. Guglielmo Maria Caporale & Nikitas Pittis & Nicola Spagnolo, 2003. "IGARCH models and structural breaks," Applied Economics Letters, Taylor and Francis Journals, vol. 10(12), pages 765-768, October. [Downloadable!] (restricted)
  2. Richard T. Baillie & Claudio Morana, 2007. "Modeling Long Memory and Structural Breaks in Conditional Variances: an Adaptive FIGARCH Approach," ICER Working Papers - Applied Mathematics Series 11-2007, ICER - International Centre for Economic Research. [Downloadable!]
  3. Thomas Lee & John Zyren, 2007. "Volatility Relationship between Crude Oil and Petroleum Products," Atlantic Economic Journal, International Atlantic Economic Society, vol. 35(1), pages 97-112, March. [Downloadable!] (restricted)
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This page was last updated on 2009-12-5.

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