Chang, Chia-Lin; McAleer, Michael - 2017
In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive … by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different … effects on conditional volatility of positive and negative effects of equal magnitude, and possibly also leverage, which is …