Can GARCH Models Capture Long-Range Dependence?

This paper investigates if component GARCH models introduced by Engle and Lee(1999) and Ding and Granger(1996) can capture the long-range dependence observed in measures of time-series volatility. Long-range dependence is assessed through the sample autocorrelations, two popular semiparametric estimators of the long-memory parameter, and the parametric fractionally integrated GARCH (FIGARCH) model. Monte Carlo methods are used to characterize …