On the autocorrelation properties of Long Memory Garch Processes
AbstractThis paper derives the autocorrelation function of the squared values of long-memory GARCH processes. The latter are of much interest since they can produce the long-memory conditional heteroscedasticity that many high-frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed.
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Bibliographic InfoPaper provided by Universidad Torcuato Di Tella in its series Department of Economics Working Papers with number 025.
Length: 15 pages
Date of creation: May 2002
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Web page: http://www.utdt.edu/ver_contenido.php?id_contenido=439&id_item_menu=568
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Autocorrelation function; Fractionally integrated GARCH process; Long-memory GARCH process.;
Other versions of this item:
- Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, 2004. "On the Autocorrelation Properties of Long-Memory GARCH Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 265-282, 03.
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- Christian Conrad & Menelaos Karanasos & Ning Zeng, 2008.
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- Adnen Ben Nasr & Ahdi N. Ajmi & Rangan Gupta, 2013. "Modeling the Volatility of the Dow Jones Islamic Market World Index Using a Fractionally Integrated Time Varying GARCH (FITVGARCH) Model," Working Papers 201357, University of Pretoria, Department of Economics.
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