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Thomas Mikosch
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Journal Articles

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

Thomas Mikosch, Cătălin Stărică
Publisher: Journals Gateway
The Review of Economics and Statistics (2004) 86 (1): 378–390.
DOI: https://doi.org/10.1162/003465304323023886
Published: 01 February 2004
Abstract
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.
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