DE JESUS GUTIERREZ, RAUL; ORTIZ CALISTO, EDGAR SEGUNDO; GARCIA SALGADO, OSWALDO
(Universidad Nacional Autónoma de México, 2017-10-25)
This article proposes an extension to the CGARCH model in order to capture the characteristics ofshort-run and long-run asymmetry and persistence, and examine their effects in modeling and forecastingthe conditional ...