Kumar, Dilip; Maheswaran, S. - In: Review of Accounting and Finance 12 (2013) 1, pp. 23-43
class of models (namely, ARFIMA (p,d′,q)‐GARCH (1,1), IGARCH (1,1), FIGARCH (1,d,0), FIGARCH (1,d,1), EGARCH (1,1) and … paper utilizes the wavelets approach (based on Haar, Daubechies‐4, Daubechies‐12 and Daubechies‐20 wavelets) and the GARCH … support the Taylor effect in the volatility proxies. The results show that ARFIMA (p,d′,q)‐FIGARCH (1,d,0) model specification …