| Vector FIGARCH process, its persistence and co-persistence in variance |
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| 作者姓名： | LI Song-chen ZHANG Shi-ying |
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| 作者单位： | School of |
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| 摘 要： | 1 Introduction ? Since the ARCH model and the GARCH model were introduced by Engle 2] and Bollerslev 3], respectively, many different models in the GARCH family have been extensively used in modeling financial time series. For example, LGARCH, MGARCH 4…
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| 关 键 词： | 平稳性 FIGARCH 持久性 分歧 |
| 文章编号： | 1671-8224（2006）03-0165-05 |
| 收稿时间： | 2006-02-22 |
| 修稿时间： | 2006-04-29 |
Vector FIGARCH process, its persistence and co-persistence in variance |
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| LI Song-chen ZHANG Shi-ying.Vector FIGARCH process, its persistence and co-persistence in variance[J].Journal of Chongqing University,2006,5(3):165-169. |
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| Authors: | LI Song-chen ZHANG Shi-ying School of Science Tianjin University Tianjin PR China Institute of Systems Engineering Tianjin University Tianjin PR China |
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| Abstract: | In this paper, the definition of the vector FIGARCH process is established, and the stationarity and some properties of the process are discussed. According to the stationarity and the results of Du and Zhang 1], we verify the persistence in variance of the vector FIGARCH process, and finally establish the sufficient and necessary condition for the co-persistence in the variance of the process and also discuss the constant related vector FIGARCH ( p , d , q ) process as a special case. |
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| Keywords: | vector FIGARCH process stationarity persistence co-persistence |
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