Czado, Claudia; Haug, Stephan
A fractionally integrated ECOGARCH process.
Collaborative Research Center 386, Discussion Paper 484
In this paper we introduce a fractionally integrated exponential continuous time GARCH(p,d,q) process. It is defined in such a way that it is a continuous time extension of the discrete time FIEGARCH(p,d,q) process. We investigate stationarity and moment properties of the new model. It is also shown that the long memory effect introduced in the log-volatility propagates to the volatility process.