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.

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Year of publication:	2002-05
Authors:	Sola, Martin ; Karansos, M ; Psaradakis, Zacharias
Institutions:	Departamento de Economía, Universidad Torcuato Di Tella
Subject:	Autocorrelation function \| Fractionally integrated GARCH process \| Long-memory GARCH process

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Extent:	application/pdf
Series:	Department of Economics Working Papers.
Type of publication:	Book / Working Paper
Language:	English
Notes:	15 pages
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10004998418