Working Paper 01-62 (29) Statistics and Econometrics Series November 2001 Departamento de Estadística y Econometría Universidad Carlos III de Madrid Calle Madrid, 126 28903 Getafe (Spain) Fax (34) 91 624-98-49 ASYMMETRIC LONG MEMORY GARCH: A REPLY TO HWANG’S MODEL Esther Ruiz and Ana Pérez* Abstract Hwang (2001) proposes the FIFGARCH model to represent long memory asymmetric conditional variance. Although he claims that this model nests many previous models, we show that it does not and that the model is badly specified. We propose and alternative specification. Keywords: EGARCH, FGARCH, FIGARCH, FIEGARCH *Ruiz, Departamento de Estadística y Econometría, Universidad Carlos III de Madrid. C/ Madrid, 126 28903 Madrid. España. Tel: 34-91-624 98 51, Fax: 34-91-624 98 49, e-mail: ortega@est-econ.uc3m.es; Pérez, Departamento de Economía Aplicada (Estadística y Econometría), Universidad de Valladolid.