A fractionally integrated ECOGARCH process

In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volality propagates to the volality process.

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Year of publication:	2006
Authors:	Haug, Stephan ; Czado, Claudia
Publisher:	München : Ludwig-Maximilians-Universität München, Sonderforschungsbereich 386 - Statistische Analyse diskreter Strukturen
Subject:	fractionally integrated exponential continuous time GARCH process \| long memory FIEGARCH \| ECUGARCH \| Lévy process \| stationarity \| stochastic volatility

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Series:	Discussion Paper ; 484
Type of publication:	Book / Working Paper
Type of publication (narrower categories):	Working Paper
Language:	English
Other identifiers:	10.5282/ubm/epub.1852 [DOI] 518769216 [GVK] hdl:10419/31132 [Handle]
Source:	EconStor

Persistent link: https://www.econbiz.de/10010267231