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

Baillie, 1996, Fractionally integrated autoregressive conditional heteroskedasticity, Journal of Econometrics, 74, 3, 10.1016/S0304-4076(95)01749-6 Bollerslev, 1986, Generalized autoregressive conditional heteroskedasticity, Journal of Econometrics, 31, 307, 10.1016/0304-4076(86)90063-1 Bollerslev, 1996, Modeling and pricing long memory in stock market volatility, Journal of Econometrics, 73, 151, 10.1016/0304-4076(95)01736-4 Box, 1964, An analysis of transformations, Journal of the Royal Statistical Society B, 26, 211 Engle, 1982, Autoregressive conditional heteroskedasticity with estimates of the variance of UK inflation, Econometrica, 50, 987, 10.2307/1912773 Hentschel, 1995, All in the family: nesting symmetric and asymmetric GARCH models, Journal of Financial Economics, 39, 71, 10.1016/0304-405X(94)00821-H Hwang, 2001, Asymmetric long memory GARCH in exchange return, Economics Letters, 71, 1, 10.1016/S0165-1765(01)00462-1 Nelson, 1991, Conditional heteroskedasticity in asset returns: a new approach, Econometrica, 59, 347, 10.2307/2938260