Some notes on FIGARCH and its properties

Some notes on FIGARCH and its properties

This paper reviews the theory and applications related to fractionally integrated generalized autoregressive conditional heteroscedastic (FIGARCH) model, mainly for describing the observed persistence in the volatility of a time series. The long memory nature of FIGARCH allows it to be a better candidate than other conditional heteroscedastic models for modeling volatility in exchange rates, option prices, stock market returns and infla