Wojtowicz, Tomasz; Gurgul, Henryk - In: Operations Research and Decisions 1 (2009), pp. 37-54
The authors analyse relations between the long memory parameter of conditional variance and estimates of the long memory in squared residuals in FIGARCH models. The investigations are performed by means of simulations FIGARCH(0, d, 0) and FIGARCH(1, d, 1) models for selected parameters....