In this paper, the definition of the vector FIGARCH process is established, and the stationarity and some properties of the process are discussed. According to the stationarity and the results of Du and Zhang [1], we ...In this paper, the definition of the vector FIGARCH process is established, and the stationarity and some properties of the process are discussed. According to the stationarity and the results of Du and Zhang [1], we verify the persistence in variance of the vector FIGARCH process, and finally establish the sufficient and necessary condition for the co-persistence in the variance of the process and also discuss the constant related vector FIGARCH ( p , d , q ) process as a special case.展开更多
We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In ...We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.展开更多
基金Funded by the Natural Science Foundation of China (No. 70471050).
文摘In this paper, the definition of the vector FIGARCH process is established, and the stationarity and some properties of the process are discussed. According to the stationarity and the results of Du and Zhang [1], we verify the persistence in variance of the vector FIGARCH process, and finally establish the sufficient and necessary condition for the co-persistence in the variance of the process and also discuss the constant related vector FIGARCH ( p , d , q ) process as a special case.
基金National Natural Science Foundation of China(No.69874 0 2 8)
文摘We firstly define the persistence and common persistence of vector GARCH process from the point of view of the integration, and then discuss the sufficient and necessary condition of the copersistence in variance. In the end of this paper, we give the properties and the error correction model of vector GARCH process under the condition of the co-persistence.
