Francq, Christian; Wintenberger, Olivier; Zakoïan, … - In: Journal of Econometrics 177 (2013) 1, pp. 34-46
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...
