volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …

volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …

volatility models, namely GARCH, GJR, EGARCH, and Stochastic Volatility that are widely used to capture asymmetry and leverage. …

) showed that asymmetry was possible for GJR, but not leverage. McAleer and Hafner showed that leverage was not possible for … is shown that, in practice, EGARCH always displays asymmetry, though not leverage. … by McAleer and Hafner (2014) to obtain EGARCH. These models can be used to capture asymmetry, which denotes the different …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …

confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

between asymmetry and leverage, as well as which asymmetric models are purported to be able to capture leverage, the purpose … models are important in estimating and forecasting volatility, as well as capturing asymmetry, which is the different effects … on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …