Generalised long-memory GARCH models for intra-daily volatility

Computational Statistics and Data Analysis

Volumn 51, Issue 12, 2007, Pages 5900-5912

  Bordignon, Silvano ^a   Caporin, Massimiliano ^a   Lisi, Francesco ^a  

^a UNIVERSITY OF PADOVA   (Italy)

Author keywords

G GARCH; Gegenbauer processes; Intra daily volatility; Long memory

Indexed keywords

COMPUTER SIMULATION; MONTE CARLO METHODS; POLYNOMIALS;

G-GARCH; GEGENBAUER PROCESSES; INTRA-DAILY VOLATILITY; LONG-MEMORY;

MATHEMATICAL MODELS;

EID: 34547233226     PISSN: 01679473     EISSN: None     Source Type: Journal    
DOI: 10.1016/j.csda.2006.11.004     Document Type: Article

References (25)

1. Andersen T.G., and Bollerslev T. Intraday periodicity and volatility persistence in financial markets. J. Emp. Finance 4 (1997) 115-158
2. Arteche J. Semiparametric robust tests on seasonal or cyclical long memory time series. J. Time Ser. Anal. 23 (2002) 251-286
3. Arteche J. Gaussian semiparametric estimation in long memory in stochastic volatility and signal plus noise models. J. Econometrics 119 (2004) 79-85
4. Arteche, J., 2006. Semiparametric estimation in perturbed long memory series. Comput. Statist. and Data Anal., doi: 10.1016/j.csda.2006.07.023.
5. Baillie R.T., Bollerslev T., and Mikkelsen H.O. Fractionally integrated generalized autoregressive conditional heteroskedasticity. J. Econometrics 74 (1996) 3-30
6. Beltratti A., and Morana C. Deterministic and stochastic methods for estimation of intra-day seasonal components with high frequency data. Econom. Notes 30 (2001) 205-234
7. Bisaglia L., Bordignon S., and Lisi F. k-factor GARMA models for intraday volatility forecasting. Appl. Econ. Lett. 10 4 (2003) 251-254
8. Bollerslev T., and Hodrick R. Financial market efficiency tests. In: Pesaran M., and Wickins R. (Eds). The Handbook of Applied Econometrics I (1992), Macroeconomics, North-Holland, Amsterdam
9. Bollerslev T., and Mikkelsen H.O. Modeling and pricing long memory in stock market volatility. J. Econometrics 73 (1996) 151-184
10. Bordignon, S., Caporin, M., Lisi, F., 2007. Periodic long-memory GARCH models. Econometric Rev., forthcoming.
11. Breidt F.J., Crato N., and de Lima P. The detection and estimation of long memory in stochastic volatility. J. Econometrics 83 (1998) 325-348
12. Caporin, M., Lisi, F., 2006. Misspecification tests for periodic long memory GARCH models. In: Proceedings of 43rd Scientific Meeting Italian Statistical Association, Turin, 14-16 June 2006, pp. 199-202.
13. Dacorogna M.M., Müller U.A., Nagler R.J., Olsen R.B., and Pictet O.V. A geographical model for the daily and weekly seasonal volatility in the foreign exchange market. J. Internat. Money and Finance 12 (1993) 413-438
14. Gencay R., Dacorogna M.M., Müller U.A., Pictet O.V., and Olsen R.B. An Introduction to High Frequency Finance (2001), Academic Press, London
15. Giraitis L., Kokoszka P., and Leipus R. Stationary ARCH models: dependence structure and Central Limit Theorem. Econometric Theory 16 (2000) 3-22
16. Guégan D. A new model: the k-factor GIGARCH process. J. Signal Process. 4 (2000) 265-271
17. Guillaume, D.M., Pictet, O.V., Dacorogna, M.M., 1995. On the intra-daily performance of GARCH processes. Internal Document DMG. 1994-07-31, Olsen & Associates.
18. Guillaume D.M., Dacorogna M.M., Davé R.D., Müller U.A., Olsen R.B., and Pictet O.V. From the bird's eye to the microscope: a survey of new stylized facts of the intra-daily foreign exchange markets. Finance and Stochast 1 (1997) 95-129
19. Harvey A. Time Series Models (1981), Phillip Allan, Oxford
20. Harvey A. Long memory in stochastic volatility. In: Knight J., and Satchell S. (Eds). Forecasting Volatility in the Financial Markets (1998), Butterworth & Heinemann, Oxford
21. Hylleberg S. Seasonality in Regression (1986), Academic Press, Oxford
22. Kazakeviéius V., and Leipus R. On stationarity in the ARCH(∞) model. Econometric Theory 18 (2002) 1-16
23. Reisen V.A., Rodrigues A.L., and Palma W. Estimation of seasonal fractionally integrated processes. Comput. Statist. Data Anal. 50 (2006) 568-582
24. Woodward W.A., Cheng Q.C., and Gray H. A k-factor GARMA long-memory model. J. Time Ser. Anal. 19 4 (1998) 485-504
25. Zaffaroni P. Stationarity and memory in ARCH(∞) models. Econometric Theory 20 (2004) 147-160