کد مقاله کد نشریه سال انتشار مقاله انگلیسی نسخه تمام متن
415530 681214 2007 13 صفحه PDF دانلود رایگان
عنوان انگلیسی مقاله ISI
Generalised long-memory GARCH models for intra-daily volatility
موضوعات مرتبط
مهندسی و علوم پایه مهندسی کامپیوتر نظریه محاسباتی و ریاضیات
پیش نمایش صفحه اول مقاله
Generalised long-memory GARCH models for intra-daily volatility
چکیده انگلیسی

The class of fractionally integrated generalised autoregressive conditional heteroskedastic (FIGARCH) models is extended for modelling the periodic long-range dependence typically shown by volatility of most intra-daily financial returns. The proposed class of models introduces generalised periodic long-memory filters, based on Gegenbauer polynomials, into the equation describing the time-varying volatility of standard GARCH models. A fitting procedure is illustrated and its performance is evaluated by means of Monte Carlo simulations. The effectiveness of these models in describing periodic long-memory volatility patterns is shown through an empirical application to the Euro–Dollar intra-daily exchange rate.

ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Computational Statistics & Data Analysis - Volume 51, Issue 12, 15 August 2007, Pages 5900–5912
نویسندگان
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