We consider the long-memory and leverage properties of a model for the conditional variance V of an observable stationary sequence X, where V is the square of an inhomogeneous linear combination of X, s lt; t, with square summable weights b. This model, which we call linear autoregressive...

Although the properties of the ARCH(∞) model are well investigated, the existence of long memory FIGARCH and IARCH solution was not established in the literature. These two popular ARCH type models which are widely used in applied literature, were causing theoretical controversy because of the...