) 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 …

) 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 …

) 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 …

) 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 …

) 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. 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. 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 …

GARCH (or EGARCH) 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 …

) 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 …