most citedSmooth Transition HYGARCH Model: Stability and Forecasting

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math.ST2018

On Time-Varying Amplitude HGARCH Mode

Ferdous Mohammadi Basatini, Saeid Rezakhah

The HGARCH model allows long-memory impact in volatilities. A new HGARCH model with time-varying amplitude is considered in this paper. We show the stability of the model as well.…