Chang, Chia-Lin; McAleer, Michael - 2017
by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different …) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … EGARCH. Surprisingly, the conditions for asymmetry in EGARCH seem to have been ignored in the literature, or have …