Long Memory Process in Asset Returns with Multivariate GARCH Innovations
Author
Source
Economics Research International
Issue
Vol. 2011, Issue 2011 (31 Dec. 2011), pp.1-15, 15 p.
Publisher
Hindawi Publishing Corporation
Publication Date
2011-09-07
Country of Publication
Egypt
No. of Pages
15
Main Subjects
Abstract EN
The main purpose of this paper is to consider the multivariate GARCH (MGARCH) framework to model the volatility of a multivariate process exhibiting long-term dependence in stock returns.
More precisely, the long-term dependence is examined in the first conditional moment of US stock returns through multivariate ARFIMA process, and the time-varying feature of volatility is explained by MGARCH models.
An empirical application to the returns series is carried out to illustrate the usefulness of our approach.
The main results confirm the presence of long memory property in the conditional mean of all stock returns.
American Psychological Association (APA)
Mootamri, Imène. 2011. Long Memory Process in Asset Returns with Multivariate GARCH Innovations. Economics Research International،Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-481189
Modern Language Association (MLA)
Mootamri, Imène. Long Memory Process in Asset Returns with Multivariate GARCH Innovations. Economics Research International No. 2011 (2011), pp.1-15.
https://search.emarefa.net/detail/BIM-481189
American Medical Association (AMA)
Mootamri, Imène. Long Memory Process in Asset Returns with Multivariate GARCH Innovations. Economics Research International. 2011. Vol. 2011, no. 2011, pp.1-15.
https://search.emarefa.net/detail/BIM-481189
Data Type
Journal Articles
Language
English
Notes
Includes bibliographical references
Record ID
BIM-481189