Displaying similar documents to “Long memory properties and covariance structure of the EGARCH model”

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2010)

ESAIM: Probability and Statistics

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The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in...

On invertibility of a random coefficient moving average model

Tomáš Marek (2005)

Kybernetika

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A linear moving average model with random coefficients (RCMA) is proposed as more general alternative to usual linear MA models. The basic properties of this model are obtained. Although some model properties are similar to linear case the RCMA model class is too general to find general invertibility conditions. The invertibility of some special examples of RCMA(1) model are investigated in this paper.