Bitte verwenden Sie diesen Link, um diese Publikation zu zitieren, oder auf sie als Internetquelle zu verweisen: https://hdl.handle.net/10419/62853 
Erscheinungsjahr: 
2007
Schriftenreihe/Nr.: 
Working Paper No. 593
Verlag: 
Queen Mary University of London, Department of Economics, London
Zusammenfassung: 
This paper introduces a new long memory volatility process, denoted by Adaptive FIGARCH, or A-FIGARCH, which is designed to account for both long memory and structural change in the conditional variance process. Structural change is modeled by allowing the intercept to follow a slowly varying function, specified by Gallant (1984)'s flexible functional form. A Monte Carlo study finds that the A-FIGARCH model outperforms the standard FIGARCH model when structural change is present, and performs at least as well in the absence of structural instability. An empirical application to stock market volatility is also included to illustrate the usefulness of the technique.
Schlagwörter: 
FIGARCH, Long memory, Structural change, Stock market volatility
JEL: 
C15
C22
F31
Dokumentart: 
Working Paper

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