Asymmetric long memory GARCH: a reply to Hwang's model

Ana Pérez
Authors registered in the RePEc Author Service: Esther Ruiz ()

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

Abstract: Hwang (2001) proposes the FIFGARCH model to represent long memory asymmetric conditional variance. Although he claims that this model nests many previous models, we show that it does not and that the model is badly specified. We propose and alternative specification.

Date: 2001-11
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Journal Article: Asymmetric long memory GARCH: a reply to Hwang's model (2003)
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