2 papers
q-fin.ST2026
Asymmetric Long-Memory GARCH: Sign-Dependent Kernel Injection in a Two-Dimensional Markov Chain
Kennedy Titus Kayaki, Kyungsub Lee
We introduce ALM-GARCH, an asymmetric long-memory GARCH model in which positive and negative innovations enter conditional variance with different injection amplitudes and kernel o…
q-fin.ST2026
Long-memory GARCH via a two-dimensional Markov chain
Kyungsub Lee, Kennedy Titus Kayaki
This paper proposes a GARCH-type volatility model in which level-and-slope updates of a latent power-law kernel generate state-dependent decay of past shocks within a two-dimension…