Aloui, Chaker; HAMIDA, Hela BEN - In: Czech Journal of Economics and Finance (Finance a uver) 65 (2015) 1, pp. 30-54
-memory GARCH-class models under three density functions are used to investigate this relevancy. Our results reveal that non …-linear GARCH-class models accommodating long memory and asymmetry can better capture the volatility of returns. In particular, we …-memory GARCH-class models and simple GARCH and EGARCH models. Overall, long-memory, asymmetry, persistence and fat tails are …
