Template-type: ReDIF-Paper 1.0
Author-Name: Manabu Asai
Author-Person: pas73 
Author-Workplace-Name: Faculty of Economics, Soka University, Japan.
Author-Name: Michael McAleer
Author-Person: pmc90 
Author-Workplace-Name: Econometrisch Instituut (Econometric Institute), Faculteit der Economische 
	Wetenschappen (Erasmus School of Economics), Erasmus Universiteit, Tinbergen Instituut (Tinbergen Institute).
Author-Name: Marcelo C. Medeiros
Author-Email: medeiros@igualdade.org.br
Author-Person: pme108 
Author-Workplace-Name: Department of Economics, Pontifical Catholic University of Rio de Janeiro, Brazil.
Title: Asymmetry and Long Memory in Volatility Modelling
Abstract: A wide variety of conditional and stochastic variance models has been used to estimate latent 
	volatility (or risk). In this paper, we propose a new long memory asymmetric volatility model which captures 
	more flexible asymmetric patterns as compared with several existing models. We extend the new specification 
	to realized volatility by taking account of measurement errors, and use the Efficient Importance Sampling 
	technique to estimate the model. As an empirical example, we apply the new model to the realized volatility 
	of S&P500 to show that the new specification of asymmetry significantly improves the goodness of fit, and that 
	the out-of-sample forecasts and Value-at-Risk (VaR) thresholds are satisfactory. Overall, the results of the 
	out-of-sample forecasts show the adequacy of the new asymmetric and long memory volatility model for the period 
	including the global financial crisis.
Keywords: Asymmetric volatility, Long memory, Realized volatility, Measurement errors, Efficient importance sampling.
Note: The authors are most grateful to a Co-Editor, Associate Editor and two referees for very helpful comments 
	and suggestions, and Marcel Scharth for efficient research assistance. For financial support, the first 
	author acknowledges the Japan Ministry of Education, Culture, Sports, Science and Technology, Japan 
	Society for the Promotion of Science, and Australian Academy of Science, the second author is most 
	grateful to the Australian Research Council, National Science Council, Taiwan, and Japan Society for the 
	Promotion of Science, and the third author wishes to acknowledge CNPq, Brazil.
Length: 29 pages 
Creation-Date: 2011 
Number: 2011-29
X-File-Ref: http://america.sim.ucm.es/repec/ucm//ref/doicae1129.txt
File-URL: https://eprints.ucm.es/id/eprint/13215/1/1129.pdf
File-Format: Application/pdf
File-Function: revised augost 2011
Handle: RePEc:ucm:doicae:1129