Asymmetric long memory GARCH: a reply to Hwang's model
Ana Pérez, Esther Ruiz · RePEc: Research Papers in Economics · 2001
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.