Hauser, Michael, Kunst, Robert M.. 2001. Fractionally Integrated Models with ARCH Errors. Ökonometrisches Forschungseminar, IHS, Wien, 01.12.
BibTeX
Abstract
We indroduce ARFIMA-ARCH models which simultaneously incorporate fractional differencing and conditional heteroskedasticity. We develop the likelihood function and a numerical estimation procedure for this model class. Two ARCH models - Engle- and Weisstype - are explicitly treated and stationarity conditions are derived. Finite-sample properties oft he estimation procedure are explored by Monte Carlo simulation. An application to the Standard & Poor 500 Index indicates existence of intermediate memory (d<0) for the 1980's and no fractional differencing (d=0) but strong conditional heteroskedastic effects for the 1960's. For the latter time period contrary to the suggestion of long memory by Mandelbrot, we only found evidence for a positive first-order autoregressive parameter.
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Status of publication | Published |
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Affiliation | WU |
Type of publication | Unpublished lecture |
Language | German |
Title | Fractionally Integrated Models with ARCH Errors |
Event | Ökonometrisches Forschungseminar, IHS |
Location | Wien |
Date | Dec. 1, 2001 |
URL | http://www.ihs.ac.at/publications/ihsfo/fo322.pdf |
Associations
- People
- Hauser, Michael (Details)
- External
- Kunst, Robert M. (IHS-Wien)
- Organization
- Institute for Statistics and Mathematics IN (Details)
- Research areas (ÖSTAT Classification 'Statistik Austria')
- 5323 Econometrics (Details)