Journal of the Korean Data and Information Science Society

The Korean Data and Information Science Society (한국데이터정보과학회)
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Long Memory and Covariance Stationarity of Asymmetric Power FIGARCH Model

  • Lee, O. (Department of statistics, Ewha Womans University) ;
  • Kim, M.J. (Department of Statistics, Ewha Womans University)
  • Published : 2006.08.31
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Abstract

In this paper, we study an asymmetric power fractionally integrated GARCH model and find a region on which the process is stationary ergodic and has long memory property.

Keywords