In this work we introduce an extension of the FIGARCH model, called SFIGARCH, to account for periodic and long memory components in intraday volatility of financial returns. An application on a real time series is provided.
SFIGARCH: a seasonal long memory GARCH model.
Bordignon, Silvano;Lisi, Francesco;Caporin, Massimiliano
2005
Abstract
In this work we introduce an extension of the FIGARCH model, called SFIGARCH, to account for periodic and long memory components in intraday volatility of financial returns. An application on a real time series is provided.File in questo prodotto:
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