Explain the term FIGARCH as of the GARCHs family
Explain the term FIGARCH as of the GARCH’s family.
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FIGARCH: It is fractionally Integrated GARCH. Such model uses the fractional differencing lag operator applied to the variance. It adds an extra parameter to the GARCH model, and is such that this includes GARCH and IGARCH as extremes. Such model has the long memory, slow decay of volatility as appear in practice.
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