Zakoïan, Jean-Michel; Wintenberger, Olivier; Francq, … - Université Paris-Dauphine (Paris IX) - 2013
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without positivity constraints. We compare the main probabilistic properties (strict stationarity, existence of moments, tails) of the EGARCH...