Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (Q626266)
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scientific article; zbMATH DE number 5855617
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models |
scientific article; zbMATH DE number 5855617 |
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Empirical wavelet analysis of tail and memory properties of LARCH and FIGARCH models (English)
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22 February 2011
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The tail index \(\alpha\) and long memory parameter \(d\) are estimated for stationary linear ARCH (LARCH) and fractionally integrated GARCH (FIGARCH) processes with heavy tailed marginal distributions and long memory. The estimates are based on the discrete wavelet transform (DWT). A confidence interval for \(\alpha\) is constructed. Results of simulations and an application to a financial data set are presented.
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fractionally integrated GARCH process
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heavy tails
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discrete wavelet transform
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tail index
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