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Keywords: FIEGARCH
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Journal Articles
Asymmetric long memory volatility in the PIIGS economies
Available to Purchase
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2013) 12 (1): 23–43.
Published: 15 February 2013
... approach (based on Haar, Daubechies‐4, Daubechies‐12 and Daubechies‐20 wavelets) and the GARCH class of models (namely, ARFIMA (p,d′,q)‐GARCH (1,1), IGARCH (1,1), FIGARCH (1,d,0), FIGARCH (1,d,1), EGARCH (1,1) and FIEGARCH (1,d,1)) to accomplish the desired goals. Findings The findings provide evidence...
