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A0674
Title: Conditional asymmetry in ARCH($\infty$) models Authors:  Julien Royer - CREST (France) [presenting]
Abstract: An extension of ARCH($\infty$) models is considered to account for conditional asymmetry in the presence of high persistence. After stating existence and stationarity conditions, we develop the statistical inference of such models and proves the consistency and asymptotic distribution of a Quasi Maximum Likelihood estimator. Some particular specifications are studied, and tests for asymmetry and GARCH validity are derived. Finally, we present an application on a set of equity indices to reexamine the preeminence of GARCH-type specifications. We find strong evidence that the short memory feature of such models is not suitable for lightly traded assets.