On the autocorrelation properties of long-memory GARCH processes

Karanasos, M. and Psaradakis, Zacharias and Sola, M. (2004) On the autocorrelation properties of long-memory GARCH processes. Journal of Time Series Analysis 25 (2), pp. 265-281. ISSN 0143-9782.

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Official URL: https://doi.org/10.1046/j.0143-9782.2003.00349.x

Abstract

This paper derives the autocorrelation function of the squared values of long‐memory GARCH processes. Such processes are of much interest as they can produce the long‐memory conditional heteroskedasticity that many high‐frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed.

Metadata

Item Type:	Article
School:	Birkbeck Faculties and Schools > Faculty of Business and Law > Birkbeck Business School
Depositing User:	Sarah Hall
Date Deposited:	21 Jul 2020 07:56
Last Modified:	02 Aug 2023 18:01
URI:	https://eprints.bbk.ac.uk/id/eprint/32618

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