A New Long Memory Volatility Model

Financial Econometrics and Risk Management — Topic Contributed Papers ; IMS, Section on Risk Analysis : Abstract - #308097This paper proposes a new type of long memory volatility model by mixing a common GARCH and a hyperbolic decaying structures. It is superior the commonly used FIGARCH and HYGARCH models since the variance of the hyperbolic structure is finite and that of the whole process may be infinite. Some probabilistic properties and the quasi-maximum likelihood estimation are also developed. The simulation experiments and a real example give further support to this new model