fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can …

log-squared returns. GARCH models extensively used in empirical analysis do not account for long memory in volatility. The … integrated generalized autoregressive conditional heteroscedasticity (FIGARCH) model. For the purpose, daily values of 38 indices … of long memory in volatility of all the index returns. This shows that FIGARCH model better describes the persistence in …

fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize the finite sample distributions of … these statistics when data are generated from GARCH(1,1), component GARCH and FIGARCH models. For several daily financial …This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can …

the FIGARCH model. The GARCH and IGARCH frameworks are also estimated for comparative purposes. …

GARCH model augmented by including an additional explanatory variable - the so-called GARCH-X model. The additional … to the results of Jensen and Rahbek (2004, Econometric Theory 20) who develop similar results for the pure GARCH model …

variants of the widely used GARCH family of second order persistence models that control for these effects, and compare the …

financial time series and use it to improve the short-term forecasts from GARCH models. We study different generalizations of … GARCH that allow for several time scales. On our holding sample, none of the considered models can fully exploit the …

fractionally-integrated GARCH for the conditional variance. The interaction between the funds is modelled as the Dynamic …

This paper employs a Component GARCH in Mean model to show that house prices across a number of major US cities between …

bivariate cointegration, ECM, CGARCH and threshold cointegration for daily data spanning from 1988 to 2008. The presence of …