Quotation Hauser, Michael, Kunst, Robert M.. 2001. Fractionally Integrated Models with ARCH Errors. Ökonometrisches Forschungseminar, IHS, Wien, 01.12.


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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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Publication's profile

Status of publication Published
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Type of publication Unpublished lecture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)
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