Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

Thomas Mikosch; Catalin Starica

doi:10.1162/003465304323023886

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Nonstationarities in Financial Time Series, the Long-Range Dependence, and the IGARCH Effects

Thomas Mikosch¹; Catalin Starica²

¹ University of Copenhagen · ² Chalmers University of Technology

The Review of Economics and Statistics 2004

We give the theoretical basis of a possible explanation for two stylized facts observed in long log-return series: the long-range dependence (LRD) in volatility and the integrated GARCH (IGARCH). Both these effects can be explained theoretically if one assumes that the data are nonstationary.

DOI: 10.1162/003465304323023886
Volume: 86 (1)
Pages: 378-390
Language: en
Export: BibTeX
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