On the Autocorrelation Properties of Long‐Memory GARCH Processes

Menelaos Karanasos (), Zacharias Psaradakis and Martin Sola

Journal of Time Series Analysis, 2004, vol. 25, issue 2, 265-282

Abstract: Abstract. This paper derives the autocorrelation function of the squared values of long‐memory GARCH processes. Such processes are of much interest as they can produce the long‐memory conditional heteroskedasticity that many high‐frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed.

Date: 2004
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Citations: View citations in EconPapers (33)

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https://doi.org/10.1046/j.0143-9782.2003.00349.x

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Working Paper: On the autocorrelation properties of Long Memory Garch Processes (2002)
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282

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