The correct regularity condition and interpretation of asymmetry in EGARCH

DOI10.1016/J.ECONLET.2017.09.017MaRDI QIDQ1786770zbMATH OpenOpenAlexFDO

Authors Chialin Chang, Michael McAleer

Publication date 25 September 2018

Published in Economics Letters (Search for Journal in Brave)

Full work available at URL https://eprints.ucm.es/id/eprint/43463/1/1717.pdf

zbMATH Keywords

asymmetryconditional volatility modelsEGARCHleveragerandom coefficient complex nonlinear moving average processregularity condition

Mathematics Subject Classification ID

Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Applications of statistics to economics (62P20)

Recommendations

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Cites work

• ARCH models as diffusion approximations
• Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation
• Conditional Heteroscedastic Time Series Models
• Conditional Heteroskedasticity in Asset Returns: A New Approach
• Generalized autoregressive conditional heteroscedasticity
• On the invertibility of EGARCH\((p, q)\)

Cited in

(6)

• EGARCH models with fat tails, skewness and leverage
• GARCH models without positivity constraints: exponential or log GARCH?
• Modeling the interactions between volatility and returns using EGARCH-M
• Portfolio optimization of energy commodity futures returns with minimum information copula
• On the invertibility of EGARCH\((p, q)\)
• Contemporaneous asymmetry in GARCH processes

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