) 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 … subsequent shocks to volatility. However, there are as yet no statistical properties available for the (quasi-) maximum …

) 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 … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

) 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 … shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH …

vary according to whether they are in low or high volatility regimes. …

relationship between the S&P500 Composite Index and the Volatility Index (VIX), but few empirical studies have focused on the … affect ETF returns. The ARCH-LM test shows conditional heteroskedasticity in the estimation of ETF returns, so that the …