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 …

aggregation of GARCH processes of Drost and Nijman (1993). Using Swedish data, our estimation method produces an overall larger …

We compare small-sample properties of Bayes estimation and maximum likelihood estimation (MLE) of ARMA-GARCH models … method of testing strict stationarity and ergodicity of the conditional variance in the GARCH(1,1) process, near epoch … depencenve (NED), and finiteness of unconditional moments of the GARCH(1,1) process by using a Markov chain Monte Carlo (MCMC …