(EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on … 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage … that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative …

last no longer than 2 or 3 years. An Exponential Generalized Autoregressive Conditional Heteroscedasticity (EGARCH) model …

We develop a comparative study using the TARCH and EGARCH non-linear econometric models. We use them to describe …)-EGARCH(1,1) model describes properly the aggregated returns of the stock market (measured by the IPC). They also show that … the AR(1)-TGARCH(1,1) and AR(1)-EGARCH(1,1) models fit 19 and 11 stock return series, respectively. Finally, the results …

the GARCH by developed Engle and Bollerslev (1986) and EGARCH by Nelson (1991) methodologies, the paper empirically …

technique employed includes Engle Granger two step procedure and the bivariate EGARCH method. The results indicate that any …

the returns of Bitcoin. An asymmetric GARCH model (EGARCH) is used to investigate whether Bitcoin may be useful in risk …

exponential GARCH (EGARCH) model with an integrated dynamic conditional correlation (DCC) approach to measure the impact on the …-stage multivariate EGARCH model's results show that the conditional volatilities of both asset portfolios surge more after positive news …

-19 pandemic. We applied the GARCH (1, 1), GJR-GARCH (1, 1), and EGARCH (1, 1) econometric models on the daily time series … positive asymmetric behavior during the pandemic. Apart from this, the results also reveal that EGARCH is the most appropriate …

EGARCH models, this work shows that expansive monetary policies may influence stock market indexes much more than restrictive …