(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 …

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

-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 …

Portuguese Stock Index PSI-20. By using simple GARCH, GARCH-M, Exponential GARCH (EGARCH) and Threshold ARCH (TARCH) models, we …

returns of FTSE All Share Index during the period of February 1965 and October 2002 and GARCH, TGARCH, EGARCH, and AGARCH …

by ARCH models. The volatility is measured by a linear GARCH and an EGARCH process. Our results suggests that EGARCH … provides better estimates than a linear standard GARCH model. The EGARCH also can capture most of the asymmetry, supporting the …

Non-linearity is the general characteristic of financial series. Thus, common non-linear models such as GARCH, EGARCH …

political turmoil of 2011. The analysis is based on employing both GARCH and EGARCH models. Daily closing prices of four … revolution which was shaped by extreme volatile fluctuations in stock returns. The EGARCH model was the method of choice for …