Feng, Yuanhua; McNeil, Alexander J. - In: Economic Modelling 25 (2008) 5, pp. 850-867
This paper extends the GARCH model to a wide class of nonstationary processes by proposing a semiparametric GARCH model for simultaneous modelling of conditional heteroskedasticity, slow scale change and periodicity in the volatility of high-frequency financial returns. A data-driven algorithm...