ARCH model and fractional Brownian motion

NATALIA BAHAMONDE ROZAS, Soledad Torres, Ciprian A. Tudor

Research output: Contribution to journalArticlepeer-review

4 Scopus citations

Abstract

We study an extension of the ARCH model that includes the squared fractional Brownian motion. We study the statistical properties of the model as the conditions for the existence of a stationary solution and the moments of the process. We study their asymptotic behavior of the autocorrelation function of the squared of the process and we prove that the long memory property of the model holds. We illustrate our results by numerical simulations.

Original languageEnglish
Pages (from-to)70-78
Number of pages9
JournalStatistics and Probability Letters
Volume134
DOIs
StatePublished - 1 Mar 2018

Keywords

  • ARCH model
  • Fractional Brownian motion
  • Stationary process
  • Volatility

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