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On the autocorrelation properties of Long Memory Garch Processes

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  • Martin Sola
  • M Karansos
  • Zacharias Psaradakis

Abstract

This 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.

Suggested Citation

  • Martin Sola & M Karansos & Zacharias Psaradakis, 2002. "On the autocorrelation properties of Long Memory Garch Processes," Department of Economics Working Papers 025, Universidad Torcuato Di Tella.
    • Handle: RePEc:udt:wpecon:025
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    References listed on IDEAS

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