Asymmetry and long memory in volatility modeling

Manabu Asai, Michael McAleer, Marcelo C. Medeiros

Research output: Contribution to journalArticlepeer-review


In this paper, we propose a 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 (RV) by taking account of measurement errors and use the Efficient Importance Sampling technique to estimate the model. We apply the model to the RV of S&P500. 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.

Original languageEnglish (US)
Pages (from-to)495-512
Number of pages18
JournalJournal of Financial Econometrics
Issue number3
StatePublished - Jun 2012
Externally publishedYes


  • Asymmetric volatility
  • Efficient importance sampling
  • Long memory
  • Measurement errors
  • Realized volatility

ASJC Scopus subject areas

  • Finance
  • Economics and Econometrics


Dive into the research topics of 'Asymmetry and long memory in volatility modeling'. Together they form a unique fingerprint.

Cite this