Long Memory Process in Asset Returns with Multivariate GARCH Innovations

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</svg></span></td><td align="center">0.301</td><td align="center">0.206</td><td align="center">0.245</td></tr><tr><td align="center">( 0.049)</td><td align="center">(0.050)</td><td align="center">(0.052)</td></tr><tr class="table-tr"><td colspan="4"><hr class="tbody-hr"/></td></tr></table></td></tr><tr class="table-fn"><td>Notes: GPH are the Geweke and Porter-Hudak [<a href="/journals/ecri/2011/564952/#B21">9</a>] procedure. The numbers in parenthese is standard errors.<br/></td></tr></table>

Economics Research International

tab2

Table 2

Table 2: Long Memory Process in Asset Returns with Multivariate GARCH Innovations 