Work

Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation

Year: 2021

Type: article

Abstract: In this paper, we propose an Adaptive Realized Hyperbolic GARCH (A-Realized HYGARCH) process to model the long memory of high-frequency time series with possible structural breaks. The structural change is modeled by allowing the intercept to follow the smooth and flexible function form introduced by Gallant (1984). In addition, stability conditions of the process are investigated. A Monte Carlo study is investigated in order to illustrate the performance of the A-Realized HYGARCH process compared to the Realized HYGARCH with or without structural change.

Source: Afrika Statistika

DOI: 10.16929/as/2021.2629.177

Authors: Elhadji Sall, El Hadji Dème, Abdou Kâ Diongue

Language: English

Topic: Financial Risk and Volatility Modeling

Subfield: Finance

Field: Economics, Econometrics and Finance

Domain: Social Sciences

Open Access status: diamond

OpenAlex ID: W3157138916

FWCI: 0.2

Cites: 28

Cited by: 1

Related to: 10