On the autocorrelation properties of Long Memory Garch Processes
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.
|Date of creation:||May 2002|
|Date of revision:|
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