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Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2002)

ESAIM: Probability and Statistics

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 particular, a...

Long memory properties and covariance structure of the EGARCH model

Donatas Surgailis, Marie-Claude Viano (2010)

ESAIM: Probability and Statistics

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 particular,...

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