Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH … exist. Since ARCH models with non-zero intercept have a unique stationary solution and exclude long memory, the existence of … finite variance FIGARCH and IARCH models and, thus, the possibility of long memory in the ARCH setting was doubtful. The …