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Modeling High Frequency Data with Long Memory and Structural Change: A-HYEGARCH Model

Shi, Yanlin; Yang, Yang


In this paper, we propose an Adaptive Hyperbolic EGARCH (A-HYEGARCH) model to estimate the long memory of high frequency time series with potential structural breaks. Based on the original HYGARCH model, we use the logarithm transformation to ensure the positivity of conditional variance. The structural change is further allowed via a flexible time-dependent intercept in the conditional variance equation. To demonstrate its effectiveness, we perform a range of Monte Carlo studies considering...[Show more]

CollectionsANU Research Publications
Date published: 2018
Type: Journal article
Source: Risks
DOI: 10.3390/risks6020026


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