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On the Autocorrelation Properties of Long‐Memory GARCH Processes

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  • Menelaos Karanasos
  • Zacharias Psaradakis
  • Martin Sola

Abstract

. This paper derives the autocorrelation function of the squared values of long‐memory GARCH processes. Such processes are of much interest as they can produce the long‐memory conditional heteroskedasticity that many high‐frequency financial time series exhibit. An empirical application illustrating the practical use of our results is also discussed.

Suggested Citation

  • Menelaos Karanasos & Zacharias Psaradakis & Martin Sola, 2004. "On the Autocorrelation Properties of Long‐Memory GARCH Processes," Journal of Time Series Analysis, Wiley Blackwell, vol. 25(2), pages 265-282, March.
    • Handle: RePEc:bla:jtsera:v:25:y:2004:i:2:p:265-282
    DOI: 10.1046/j.0143-9782.2003.00349.x
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