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Title:A fractionally integrated ECOGARCH process PDF Logo
Authors:Haug, Stephan
Czado, Claudia
Issue Date:2006
Series/Report no.:Discussion paper // Sonderforschungsbereich 386 der Ludwig-Maximilians-Universität München 484
Abstract:In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volality propagates to the volality process.
Subjects:fractionally integrated exponential continuous time GARCH process
long memory FIEGARCH
Lévy process
stochastic volatility
Persistent Identifier of the first edition:urn:nbn:de:bvb:19-epub-1852-7
Document Type:Working Paper
Appears in Collections:Discussion papers, SFB 386, LMU München

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