Kang, Sang Hoon; Cho, Hwan-Gue; Ryu, Suyeol; Yoon, Seong-Min - In: Theoretical and Applied Economics 12(541)(supplement) (2009) 12(541)(supplement), pp. 771-777
models under normal and skewed Student-t innovation distributions. The FIAPARCH model well captured the long-memory and … asymmetry properties of the volatility. In addition, the skewed Student-t models outperformed the normal models in measuring the …