摘要
In this paper, the definition of the vector FIGARCH process is established, and the stationarity and some properties of the process are discussed. According to the stationarity and the results of Du and Zhang [1], we verify the persistence in variance of the vector FIGARCH process, and finally establish the sufficient and necessary condition for the co-persistence in the variance of the process and also discuss the constant related vector FIGARCH ( p , d , q ) process as a special case.
In this paper, the definition of the vector FIGARCH process is established, and the stationarity and some properties of the process are discussed. According to the stationarity and the results of Du and Zhang [1], we verify the persistence in variance of the vector FIGARCH process, and finally establish the sufficient and necessary condition for the co-persistence in the variance of the process and also discuss the constant related vector FIGARCH （p,d, q） process as a special case.
基金
Funded by the Natural Science Foundation of China (No. 70471050).
关键词
平稳性
FIGARCH
持久性
分歧
vector FIGARCH process
stationarity
persistence
co-persistence.
