Matches in SemOpenAlex for { <https://semopenalex.org/work/W2000290698> ?p ?o ?g. }
Showing items 1 to 54 of
54
with 100 items per page.
- W2000290698 abstract "The goal of this paper is to illuminate the capability of the component GARCH model of Ding and Granger (1996) and Engle and Lee (1999) to reproduce the long memory-type behavior of financial volatility. The potential of this model to capture the long memory dynamics observed in measures of financial volatility has been documented recently by Maheu (2005) and Deo et al. (2006), who base their conclusions on simulation techniques and a forecasting exercise, respectively. In this paper, a simple explanation for these observations is provided, which is based on the theoretical autocorrelation function (ACF) of the component GARCH model. We also elucidate why even higher-order GARCH models with Bollerslev's (1986) nonnegativity constraints enforced cannot mimic the long memory effects. The reasoning is supported with several empirical examples, for which we explicitly calculate the theoretical ACF implied by a couple of different fitted models, and find that their structure is just as predicted by our argument. To conveniently conduct these computations, a general simple method for computing the theoretical ACF of GARCH models is suggested, which is easier to use than the formulas developed so far, and particularly so for higher lag-orders. The ability of the component model to approximate long memory is also validated on the basis of a visual comparison between the empirical and the implied theoretical ACFs." @default.
- W2000290698 created "2016-06-24" @default.
- W2000290698 creator A5064692566 @default.
- W2000290698 date "2007-01-03" @default.
- W2000290698 modified "2023-10-18" @default.
- W2000290698 title "Volatility Components and Long Memory-Effects Revisited" @default.
- W2000290698 doi "https://doi.org/10.2202/1558-3708.1411" @default.
- W2000290698 hasPublicationYear "2007" @default.
- W2000290698 type Work @default.
- W2000290698 sameAs 2000290698 @default.
- W2000290698 citedByCount "6" @default.
- W2000290698 countsByYear W20002906982022 @default.
- W2000290698 countsByYear W20002906982023 @default.
- W2000290698 crossrefType "journal-article" @default.
- W2000290698 hasAuthorship W2000290698A5064692566 @default.
- W2000290698 hasConcept C105795698 @default.
- W2000290698 hasConcept C11413529 @default.
- W2000290698 hasConcept C149782125 @default.
- W2000290698 hasConcept C23922673 @default.
- W2000290698 hasConcept C2986394398 @default.
- W2000290698 hasConcept C33923547 @default.
- W2000290698 hasConcept C41008148 @default.
- W2000290698 hasConcept C45374587 @default.
- W2000290698 hasConcept C5297727 @default.
- W2000290698 hasConcept C91602232 @default.
- W2000290698 hasConceptScore W2000290698C105795698 @default.
- W2000290698 hasConceptScore W2000290698C11413529 @default.
- W2000290698 hasConceptScore W2000290698C149782125 @default.
- W2000290698 hasConceptScore W2000290698C23922673 @default.
- W2000290698 hasConceptScore W2000290698C2986394398 @default.
- W2000290698 hasConceptScore W2000290698C33923547 @default.
- W2000290698 hasConceptScore W2000290698C41008148 @default.
- W2000290698 hasConceptScore W2000290698C45374587 @default.
- W2000290698 hasConceptScore W2000290698C5297727 @default.
- W2000290698 hasConceptScore W2000290698C91602232 @default.
- W2000290698 hasIssue "2" @default.
- W2000290698 hasLocation W20002906981 @default.
- W2000290698 hasOpenAccess W2000290698 @default.
- W2000290698 hasPrimaryLocation W20002906981 @default.
- W2000290698 hasRelatedWork W2072772273 @default.
- W2000290698 hasRelatedWork W2111098027 @default.
- W2000290698 hasRelatedWork W2118743060 @default.
- W2000290698 hasRelatedWork W2127157766 @default.
- W2000290698 hasRelatedWork W3121264114 @default.
- W2000290698 hasRelatedWork W3121940689 @default.
- W2000290698 hasRelatedWork W3124844110 @default.
- W2000290698 hasRelatedWork W3125278241 @default.
- W2000290698 hasRelatedWork W3126038238 @default.
- W2000290698 hasRelatedWork W3185744861 @default.
- W2000290698 hasVolume "11" @default.
- W2000290698 isParatext "false" @default.
- W2000290698 isRetracted "false" @default.
- W2000290698 magId "2000290698" @default.
- W2000290698 workType "article" @default.