Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

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.

Bibliographic Details

Published in:	The review of economics and statistics 2004-02, Vol.86 (1), p.378-390
Main Authors:	Mikosch, Thomas, Stărică, Cătălin
Format:	Article
Language:	eng
Subjects:	Data sampling Economic models Economic theory Estimators Maximum likelihood estimation Parametric models Spectral energy distribution Statistical discrepancies Statistical variance Studies Time series Time series models Volatility
Online Access:	Get full text
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