Gaussian inference on certain long-range dependent volatility models

Paolo Zaffaroni

No 472, Temi di discussione (Economic working papers) from Bank of Italy, Economic Research and International Relations Area

Abstract: For a class of long memory volatility models, we establish the asymptotic distribution theory of the Gaussian estimator and the Lagrange multiplier test. Both the case of estimation of martingale difference and ARMA levels are considered. A Montecarlo exercise is presented to assess the small sample properties of the Gaussian estimator and the Lagrange multiplier test. An empirical application, using foreign exchange rates and stock index returns, suggests the potential of these models to capture the dynamic features of the data.

Keywords: volatility model; nonlinear moving average model; long memory; Whittle estimation; asymptotic distribution theory (search for similar items in EconPapers)
JEL-codes: C22 C51 G12 (search for similar items in EconPapers)
Date: 2003-06
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Citations: View citations in EconPapers (12)

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Persistent link: https://EconPapers.repec.org/RePEc:bdi:wptemi:td_472_03

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