GARCH(p; d; q) (HYGARCH) model of Davidson (2004). The conditions are necessary and sufficient for p < 2 and sufficient for … p > 2 and emerge as natural extensions of the inequality constraints derived in Nelson and Cao (1992) for the GARCH … of its GARCH and FIGARCH components. Finally, we analyze the effects of erroneously fitting a FIGARCH model to a data …