Statistics Seminar: Shelton Peiris (USyd) -- Generalized Fractional Long Memory Time Series with GARCH and SV Innovations: Applications in Finance

ABSTRACT

In recent years, the family of fractionally differenced processes has received a 
great deal of attention due to its flexibility in financial applications with 
long memory. This paper considers a class of models generated by Gegenbauer ARMA 
(GARMA) with the Long Memory (LM), GARCH and SV components. The existence and 
uniqueness of second order solutions will be established. Various new results 
associated with this class will be reported. A simulation study has been added. 
A potential application will be discussed to justify the usefulness of this new 
class in financial modelling.

*Joint work with Manabu Asai, Faculty of Economics, Soka University, Hachioji-shi, 
Tokyo, Japan.