Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/171887
Authors: 
Peiris, M. Shelton
Asai, Manabu
Year of Publication: 
2016
Citation: 
[Journal:] Econometrics [ISSN:] 2225-1146 [Volume:] 4 [Year:] 2016 [Issue:] 3 [Pages:] 1-21
Abstract: 
In recent years, fractionally-differenced processes have received a great deal of attention due to their flexibility in financial applications with long-memory. This paper revisits the class of generalized fractionally-differenced processes generated by Gegenbauer polynomials and the ARMA structure (GARMA) with both the long-memory and time-dependent innovation variance. We establish the existence and uniqueness of second-order solutions. We also extend this family with innovations to follow GARCH and stochastic volatility (SV). Under certain regularity conditions, we give asymptotic results for the approximate maximum likelihood estimator for the GARMA-GARCH model. We discuss a Monte Carlo likelihood method for the GARMA-SV model and investigate finite sample properties via Monte Carlo experiments. Finally, we illustrate the usefulness of this approach using monthly inflation rates for France, Japan and the United States.
Subjects: 
GARMA
GARCH
stochastic volatility
long-memory
fractional differencing
JEL: 
C18
C40
C58
Persistent Identifier of the first edition: 
Creative Commons License: 
http://creativecommons.org/licenses/by/4.0/
Document Type: 
Article
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