Giraitis, Liudas; Surgailis, Donatas; Škarnulis, Andrius - 2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH … solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature … exist. Since ARCH models with non-zero intercept have a unique stationary solution and exclude long memory, the existence of …