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Asymmetric long memory garch: a reply to hwang's model

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URI: http://hdl.handle.net/10016/4916
ISSN: 0165-1765
DOI: 10.1016/S0165-1765(02)00268-9
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asymetric_ruiz_EL_2003_ps.pdf (660.45 KB)
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2003
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Elsevier
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Abstract
Hwang (Econom. Lett. 71 (2001) 1) proposes the FIFGARCH model to represent long memory asymmetric conditional variances. However, the model is badly specified and does not nest some fractionally integrated heteroskedastic models previously proposed. We suggest an alternative specification and illustrate the results with simulated data.
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EGARCH, FGARCH, FIGARCH, FIEGARCH
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Economics Letters, 2003, vol. 78, n. 3, p. 415-422
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