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 …

ARFIMA, AR, MA, ARMA, GARCH, and STAR models. This is done via examination of ex ante forecasting evidence based on an …

-of-sample predictions than AR, MA, ARMA, GARCH, and related models, with very few models being ?better? than ARFIMA models, based on …