) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative … between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose …

in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by … estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has … amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot …

orders, and finite sets of alternatives. Two examples show: 1. non-existence of stationary subgame-perfect equilibrium (SSPE … conditions for existence of stationary best responses additionally require either an equalizing condition or a minimality …

been important changes in the volatility size effects for firm performance, regardless of firm size and estimation period …). Volume 29(C), pages 381-401.<P> This paper investigates the stock returns and volatility size effects for firm performance in … tourists to travel to Taiwan. Four conditional univariate GARCH models are used to estimate the volatility in the stock indexes …