price volatility, and compares their forecasting performance to the standard GARCH, fractionally integrated GARCH (FIGARCH …) and the two-state Markov-switching GARCH (MS-GARCH) models via three loss functions (the mean squared error, the mean … criteria and forecast horizons, while MS-GARCH mostly comes out as the least successful model. Applying various VaR backtesting …

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH … finite variance FIGARCH and IARCH models and, thus, the possibility of long memory in the ARCH setting was doubtful. The … present paper solves this controversy by showing that FIGARCH and IARCH equations have a non-trivial covariance stationary …