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arXiv · 2104.14714

Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation

El Hadji Mamadou Sall·El Hadji Deme·Abdou Kâ Diongue
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Abstract

In this paper, we propose an Adaptive Realized Hyperbolic GARCH (A-Realized HYGARCH) process to model the long memory of high-frequency time series with possible structural breaks. The structural change is modeled by allowing the intercept to follow the smooth and flexible function form introduced by Gallant (1984). In addition, stability conditions of the process are investigated. A Monte Carlo study is investigated in order to illustrate the performance of the A-Realized HYGARCH process compared to the Realized HYGARCH with or without structural change.

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El Hadji Mamadou Sall, El Hadji Deme, Abdou Kâ Diongue. 2021-04-30. Adaptive Realized Hyperbolic GARCH Process: Stability and Estimation. https://arxiv.org/abs/2104.14714

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