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On the Autocorrelation Properties of Long‐Memory GARCH Processes
Author(s) -
Karanasos Menelaos,
Psaradakis Zacharias,
Sola Martin
Publication year - 2004
Publication title -
journal of time series analysis
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.576
H-Index - 54
eISSN - 1467-9892
pISSN - 0143-9782
DOI - 10.1046/j.0143-9782.2003.00349.x
Subject(s) - autocorrelation , autoregressive conditional heteroskedasticity , heteroscedasticity , mathematics , econometrics , long memory , series (stratigraphy) , statistics , volatility (finance) , paleontology , biology
. 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.