On the Autocorrelation Properties of Long-Memory GARCH Processes

17 Pages Posted: 26 Apr 2004

See all articles by Menelaos Karanasos

Menelaos Karanasos

University of York - Department of Economics and Related Studies

Zacharias Psaradakis

University of London - Economics, Mathematics and Statistics

Martín Sola

Universidad Torcuato Di Tella; University of London - Economics, Mathematics and Statistics

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.

Keywords: Autocorrelation function, fractionally integrated GARCH process, long-memory GARCH process

Suggested Citation

Karanasos, Menelaos and Psaradakis, Zacharias and Sola, Martín, On the Autocorrelation Properties of Long-Memory GARCH Processes. Journal of Time Series Analysis, Vol. 25, No. 2, pp. 265-282, March 2004. Available at SSRN: https://ssrn.com/abstract=513724

Menelaos Karanasos

University of York - Department of Economics and Related Studies ( email )

Heslington
York 010 5DD
United Kingdom

Zacharias Psaradakis (Contact Author)

University of London - Economics, Mathematics and Statistics ( email )

7-15 Gresse Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6415 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/psaradakis/

Martín Sola

Universidad Torcuato Di Tella ( email )

Minones 2159
1428 Buenos Aires, 1428
Argentina
5411 4784 0080 (Phone)
5411 4784 9807 (Fax)

University of London - Economics, Mathematics and Statistics ( email )

Malet Street
London, WC1E 7HX
United Kingdom
+44 20 7631 6411 (Phone)
+44 20 7631 6416 (Fax)

HOME PAGE: http://www.econ.bbk.ac.uk/faculty/sola/

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