Nonstationarities in financial time series, the long-range dependence, and the IGARCH effects

• 成果类型: Article
• 署名作者: Mikosch, T; Starica, C
• 署名单位: University of Copenhagen; Chalmers University of Technology
• 刊物名称: REVIEW OF ECONOMICS AND STATISTICS
• ISSN/ISSBN: 0034-6535
• DOI: 10.1162/003465304323023886
• 发表日期: 2004-02
• 页码: 378-390
• 关键词: structural-change; garch processes; memory; stationarity

摘要

We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary.