Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary. © 2004 President and Fellows of Harvard College and the Massachusetts Institute of Technology.

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Year of publication:	2004
Authors:	Mikosch, Thomas ; C ; abreve ; t ; abreve ; St, lin ; abreve ; ric ; abreve
Published in:	The Review of Economics and Statistics. - MIT Press. - Vol. 86.2004, 1, p. 378-390
Publisher:	MIT Press

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Extent:	application/pdf
Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005815652