Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects
We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.
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Volume (Year): 86 (2004)
Issue (Month): 1 (February)
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