The Impulse Response Function of the Long Memory GARCH Process

In this article we derive convenient representations for the cumulative impulse response function of the long memory GARCH(p,d,q) (LMGARCH) process. Our results extend the results in Baillie et al. (1996) on the first order LMGARCH. Using the derived impulse response functions we compare the persistence of shocks to the conditional variance in various GARCH models of interest such as stable, integrated and LMGARCH

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Year of publication:	2006
Authors:	Conrad, Christian ; Karanasos, Menelaos
Publisher:	[S.l.] : SSRN
Subject:	ARCH-Modell \| ARCH model \| Theorie \| Theory \| Zeitreihenanalyse \| Time series analysis
Description of contents:	Abstract [papers.ssrn.com]

Extent:	1 Online-Ressource
Type of publication:	Book / Working Paper
Language:	English
Notes:	In: Economics Letters, Vol. 90, pp. 34-41, 2006 Volltext nicht verfügbar
Classification:	C22 - Time-Series Models
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014055994