Kwan, Wilson; Li, Wai Keung; Li, Guodong - In: Computational Statistics & Data Analysis 56 (2012) 11, pp. 3632-3644
generalized autoregressive conditional heteroscedasticity (ARFIMA–HYGARCH) model is considered. The ARFIMA–HYGARCH model is a long …-memory model for the conditional mean that also allows for long memory in the conditional variance, the latter given by an HYGARCH …