Periodic Long-Memory GARCH Models

DOI10.1080/07474930802387860zbMath1161.62054OpenAlexW2016791521MaRDI QIDQ3615077

Silvano Bordignon, Massimiliano Caporin, Francesco Lisi

Publication date: 17 March 2009

Published in: Econometric Reviews (Search for Journal in Brave)

Full work available at URL: http://paduaresearch.cab.unipd.it/7084/1/2005_19.pdf

zbMATH Keywords

periodicityGARCH modelslong-memoryintra-day volatilitystock index marketsTIM stock returns

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to actuarial sciences and financial mathematics (62P05) Monte Carlo methods (65C05)

Related Items (4)

Seasonal FIEGARCH processes ⋮ Geometric Ergodicity and Moment Conditions for a Seasonal GARCH Model with Periodic Coefficients ⋮ Precious metals under the microscope: a high-frequency analysis ⋮ Misspecification tests for periodic long memory GARCH models

Cites Work

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• Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models
• Testing for strong serial correlation and dynamic conditional heteroskedasticity in multiple regression
• Fractionally integrated generalized autoregressive conditional heteroskedasticity
• The detection and estimation of long memory in stochastic volatility
• Generalized autoregressive conditional heteroscedasticity
• Modeling and pricing long memory in stock market volatility
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• A k-Factor GARMA Long-memory Model
• STATIONARITY AND MEMORY OF ARCH([infty infinity) MODELS]

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