A One Line Derivation of EGARCH
One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also accommodate le...
Main Authors: | Michael McAleer, Christian M. Hafner |
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Format: | Article |
Language: | English |
Published: |
MDPI AG
2014-06-01
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Series: | Econometrics |
Subjects: | |
Online Access: | http://www.mdpi.com/2225-1146/2/2/92 |
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