This paper considers simultaneous modelling of seasonality, slowly changing un- conditional variance and conditional heteroskedasticity in high-frequency fiancial returns. A new approach, called a seasonal SEMIGARCH model, is proposed to perform this by introducing multiplicative seasonal and...

In this paper new semiparametric GARCH models with long memory are introduced. The estimation of the nonparametric scale function is carried out by an adapted version of the SEMIFAR algorithm (Beran et al., 2002). Recurring on the revised recommendations by the Basel Committee to measure market...

A class of semiparametric fractional autoregressive GARCH models (SEMIFAR-GARCH), which includes deterministic trends, difference stationarity and stationarity with short-and long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper...