oh, Gabjin; Kim, Seunghwan; Eom, Cheoljun - In: Physica A: Statistical Mechanics and its Applications 387 (2008) 5, pp. 1247-1254
property, the GARCH(1,1) model, reflecting the volatility clustering property, and the FIGARCH model, reflecting the long … time, those of the time series with the volatility clustering effect removed diminish significantly. Our results imply that … the long-term memory property of the volatility time series can be attributed to the volatility clustering observed in the …