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

Author: Ana Pérez, Esther Ruiz
Publisher: Elsevier BV

ABOUT BOOK

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.Publicad

Powered by: