The purpose of this research project are as follows:
1 To develop a method for adding LRD into GARCH(1,1) models and construction an approximate model.
2 To construct an algorithm to calculate volatility from FIGARCH by technique of expectation maximization.
3 To investigate FIGARCH model with jump.
4 To apply FIGARCH models to find volatility of interest rates, exchange rates, and equity prices in Thai stock market and compare the results with GARCH model.
5 To develop a software for calculating volatility by using FIGARCH model.
