Modelling financial time series with SEMIFAR GARCH model

Authors
  • Y.Feng
  • J.Beran
  • K.Yu
Abstract

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Modelling financial time series with SEMIFAR-GARCH model

A class of semiparametric fractional autoregressive GARCH models (SEMIFARGARCH), which includes deterministic trends, difference stationarity and stationarity with shortand long-range dependence, and heteroskedastic model errors, is very powerful for modelling financial time series. This paper discusses the model fitting, including an efficient algorithm and parameter estimation of GARCH error ...

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Article info

Journal name: IMA Journal of Management Mathematics

Year: 2007

ISSN: 1471-678X,1471-6798

DOI: 10.1093/imaman/dpm024