A new hyperbolic GARCH model

There are two commonly used hyperbolic GARCH processes, the FIGARCH and HYGARCH processes, in modeling the long-range dependence in volatility. However, the FIGARCH process always has infinite variance, and the HYGARCH model has a more complicated form. This paper builds a simple bridge between a co...

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Veröffentlicht in:	Journal of econometrics 2015-12, Vol.189 (2), p.428-436
Hauptverfasser:	Li, Muyi, Li, Wai Keung, Li, Guodong
Format:	Artikel
Sprache:	eng
Schlagworte:	ARCH([formula omitted]) Economic models Hyperbolic GARCH Long-range dependence Normal distribution QMLE Statistical inference Stochastic models Studies Volatility
Online-Zugang:	Volltext
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