A Monte Carlo Study on FIEGARCH Processes with $\alpha-$Stable Noise

Here we present a simulated study on FIEGARCH processes with $\alpha$-stable noise. We consider only the case where $p=0=q$, that is, the processes are FIEGARCH$(0,d,0)$, and we analyze the behavior of a Whittle-type estimator for the long-memory parameter when the conditional variance of the process is not finite.