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"Long Memory Affine Microscopic ARCH"

• Description
• Pdf for the return, volatility and volatility increment
• Moments for the pdf
• Relative excess kurtosis for the pdf
• Lagged correlation for |r| and r²
• Lagged correlation for σ, ln(σ)
• The correlation between the realized volatility and the historical volatility or historical volatility increment
• The correlation with the centered volatility increment.
• The trend and leverage effect
• Fine grained vs coarse grained volatility
• The centered volatility increment conditional on the historical volatility