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Modeling high-frequency volatility with three-state FIGARCH models

Shi, Yanlin; Ho, Kin-Yip


Fractionally Integrated Generalized Autoregressive Conditional Heteroskedasticity (FIGARCH) models have enjoyed considerable popularity over the past decade because of their ability to capture the features of volatility clustering and long-memory persistence. However, in the presence of structural changes, it is well known that the estimate of long memory will be spurious. Consequently, two modeling approaches are developed to incorporate structural changes into the FIGARCH framework. One...[Show more]

CollectionsANU Research Publications
Date published: 2015
Type: Journal article
Source: Economic Modelling
DOI: 10.1016/j.econmod.2015.09.008


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