Title of article
Asymmetric long memory GARCH: a reply to Hwang’s model
Author/Authors
Esther Ruiz، نويسنده , , Ana Pérez، نويسنده ,
Issue Information
روزنامه با شماره پیاپی سال 2003
Pages
8
From page
415
To page
422
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.
Keywords
FIGARCH , FGARCH , FIEGARCH , EGARCH
Journal title
Economics Letters
Serial Year
2003
Journal title
Economics Letters
Record number
435136
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