Bordignon, Silvano; Caporin, Massimiliano; Lisi, Francesco - In: Econometric Reviews 28 (2009) 1-3, pp. 60-82
describe the empirical evidence given by this periodic long-memory behaviour. The model, named PLM-GARCH (Periodic Long …-Memory GARCH), represents a natural extension of the FIGARCH model proposed for modelling long-range persistence of volatility …. Periodic long memory versions of EGARCH (PLM-EGARCH) and of Log-GARCH (PLM-LGARCH) models are also examined. Some properties …