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- Title:
A fractionally integrated ECOGARCH process
- Document type:
- Zeitschriftenaufsatz
- Author(s):
- Haug, S., Czado, C.
- Abstract:
- In this paper we introduce a fractionally integrated exponential continuous time GARCH(p, d, q) process. It is defined in such a way that 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-volatility propagates to the volatility process.
- Keywords:
- fractionally integrated ECOGARCH process; long memory; L´evy process; stationarity; stochastic volatility
- Dewey Decimal Classification:
- 510 Mathematik
- Journal title:
- Discussion Paper 484 beim SFB 386 "Diskrete Strukturen".
- Year:
- 2006
- Reviewed:
- ja
- Language:
- en
- Semester:
- SS 11
- Format:
- Text
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