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

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …