ARCH(∞) Models and Long Memory Properties

Liudas Giraitis (), Remigijus Leipus () and Donatas Surgailis ()
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Liudas Giraitis: Queen Mary, University of London, Department of Economics
Remigijus Leipus: Vilnius University, Lithuania, and Institute of Mathematics and Informatics
Donatas Surgailis: Vilnius University, Lithuania, and Institute of Mathematics and Informatics

Chapter 3 in Handbook of Financial Time Series, 2009, pp 71-84 from Springer

Abstract: Abstract ARCH(∞)-models are a natural nonparametric generalization of the class of GARCH(p, q) models which exhibit a rich covariance structure (in particular, hyperbolic decay of the autocovariance function is possible). We discuss stationarity, long memory properties and the limit behavior of partial sums of ARCH(∞) processes as well as some of their modifications (linear ARCH and bilinear models).

Keywords: Stochastic Volatility; GARCH Model; Stochastic Volatility Model; Fourth Moment; Memory Property (search for similar items in EconPapers)
Date: 2009
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-540-71297-8_3

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DOI: 10.1007/978-3-540-71297-8_3

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