On the Autocorrelation Properties of Long-Memory GARCH Processes

This paper derives the autocorrelation function of the squared values of long-memory GARCH processes. Such processes are of much interest as they can produce the long-memory conditional heteroskedasticity that many high-frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed. Copyright 2004 Blackwell Publishing Ltd.

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Year of publication:	2004
Authors:	Karanasos, Menelaos ; Psaradakis, Zacharias ; Sola, Martin
Published in:	Journal of Time Series Analysis. - Wiley Blackwell, ISSN 0143-9782. - Vol. 25.2004, 2, p. 265-282
Publisher:	Wiley Blackwell

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Extent:	text/html
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005260673