Francq, Christian FRANCQ; Zakoïan, Jean-Michel ZAKOIAN - Centre de Recherche en Économie et Statistique … - 2009
This paper considers a class of finite-order autoregressive linear ARCH models. The model captures theleverage effect, allows the volatility to be zero and to reach its minimum for non-zero innovations, and isappropriate for long-memory modeling when infinite orders are allowed. However, the...