Francq, Christian; Zakoïan, Jean-Michel - In: Journal of Econometrics 159 (2010) 1, pp. 151-165
This paper considers a class of finite-order autoregressive linear ARCH models. The model captures the leverage effect, allows the volatility to be arbitrarily close to zero and to reach its minimum for non-zero innovations, and is appropriate for long memory modeling when infinite orders are...