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Asymmetry and Leverage in Conditional Volatility Models

McAleer, Michael - In: Econometrics 2 (2014) 3, pp. 145-150

The three most popular univariate conditional volatility models are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or...

Persistent link: https://www.econbiz.de/10011031443

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - In: Econometrics 2 (2014) 2, pp. 92-97

parameters are not available under general conditions, but rather only for special cases under highly restrictive and … unverifiable conditions. It is often argued heuristically that the reason for the lack of general statistical properties arises … (2) the reason for the lack of statistical properties of the estimators of EGARCH under general conditions is that the …

Persistent link: https://www.econbiz.de/10010785679

The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

Chang, Chia-Lin; McAleer, Michael - 2017

In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the...

Persistent link: https://www.econbiz.de/10011819449

A One Line Derivation of EGARCH

McAleer, Michael; Hafner, Christian M. - 2014

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

Persistent link: https://www.econbiz.de/10010377212