A model for long memory conditional heteroscedasticity

Liudas Giraitis, Peter M. Robinson and Donatas Surgailis

LSE Research Online Documents on Economics from London School of Economics and Political Science, LSE Library

Abstract: For a particular conditionally heteroscedastic nonlinear (ARCH) process for which the conditional variance of the observable sequence rt is the square of an inhomogeneous linear combination of rs, s 2, r' has long memory autocorrelation and normalized partial sums of ri converge to fractional Brownian motion.

Keywords: ARCH processes; long memory; Volterra series; diagrams; central limit theorem; fractional Brownian motion (search for similar items in EconPapers)
JEL-codes: C13 (search for similar items in EconPapers)
Date: 2000
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Citations: View citations in EconPapers (34)

Published in Annals of Applied Probability, 2000, 10(3), pp. 1002-1024. ISSN: 1050-5164

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Persistent link: https://EconPapers.repec.org/RePEc:ehl:lserod:299

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