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    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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    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: School of Business, Economics & Informatics > Economics, Mathematics and Statistics
    Depositing User: Sarah Hall
    Date Deposited: 21 Jul 2020 07:56
    Last Modified: 21 Jul 2020 07:56
    URI: https://eprints.bbk.ac.uk/id/eprint/32618

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