ARMA–GARCH model with fractional generalized hyperbolic innovations

ARMA–GARCH model with fractional generalized hyperbolic innovations

Abstract In this study, a multivariate ARMA–GARCH model with fractional generalized hyperbolic innovations exhibiting fat-tail, volatility clustering, and long-range dependence properties is introduced. To define the fractional generalized hyperbolic process, the non-fractional variant is derived by...

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Bibliographic Details
Main Author: Sung Ik Kim
Format: Article
Language:English
Published: SpringerOpen 2022-05-01
Series:Financial Innovation
Subjects:
Generalized hyperbolic process
Time-changed Brownian motion
Long-range dependence
Fractional Brownian motion
ARMA–GARCH model
Online Access:https://doi.org/10.1186/s40854-022-00349-2

Internet

https://doi.org/10.1186/s40854-022-00349-2

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