Fractionally integrated generalized autoregressive conditional heteroskedasticity
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The second author is also affiliated with the NBER. Most of this research was completed while the third author was visiting Northwestern University. We gratefully acknowledge the helpful comments received from three anonymous referees, Robin Brenner, Yin-Wong Cheung, Miguel Delgado, Francis X. Diebold, Andrew Harvey, Campbell Harvey, Daniel B. Nelson, Peter M. Robinson, participants at the 1993 workshop on ‘Modern Time Series Analysis in Finance’ at the University of Aarhus, Denmark, the 1994 conference on ‘Asymmetries and Non-Linearities in Dynamic Economic Models’ in Madrid, the 1994 NBER Summer Institute, as well as seminar audiences at the University of Arizona, University of California at Santa Barbara, University of Iowa, University of Minnesota, University of Montreal, University of Texas at Austin, and University of Virginia.