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Testing for long memory volatility of Chinese stock markets with FIGARCH model

2014 International Conference on Management Science & Engineering 21th Annual Conference Proceedings, 2014
In this study, the long memory property in the volatility of Chinese stock markets is examined. For this purpose, we applied two semi-parametric tests (GPH and LW) and the FIGARCH model, to four Chinese market indices: Shanghai A, Shanghai B, Shenzhen A and Shenzhen B.
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Integrated ARCH, FIGARCH and AR models: Origins of long memory

2015
Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the suspicion that other solutions besides the trivial zero one,
Giraitis, Liudas +2 more
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An improved FIGARCH model with the fractional differencing operator (1-νL)

Finance Research Letters, 2023
Qunxing Pan, Peng Li, Xiuli Du
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An Improved FIGARCH Model with The Difference Operator (1-Vl)D

2023
Qunxing Pan, Peng Li, Xiuli Du
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Bivariate FIGARCH and franctional cointegration

1999
Brunetti, C., Gilbert, C.L.
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Forecasting crude palm oil (CPO) prices with Arfima-Figarch method