On the autocorrelation properties of Long Memory Garch Processes

Martin Sola, M Karansos and Zacharias Psaradakis

Department of Economics Working Papers from Universidad Torcuato Di Tella

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

Keywords: Autocorrelation function; Fractionally integrated GARCH process; Long-memory GARCH process. (search for similar items in EconPapers)
Pages: 15 pages
Date: 2002-05
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Citations: View citations in EconPapers (4)

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Related works:
Journal Article: On the Autocorrelation Properties of Long‐Memory GARCH Processes (2004)
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Persistent link: https://EconPapers.repec.org/RePEc:udt:wpecon:025

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