Results 161 to 170 of about 4,202 (205)

Moments of the ARMA–EGARCH model [PDF]

The Econometrics Journal, 2003
Summary: This paper considers the moment structure of the general ARMA-EGARCH model. In particular, we derive the autocorrelation function of any positive integer power of the squared errors. In addition, we obtain the autocorrelations of the squares of the observed process and cross correlations between the levels and the squares of the observed ...
Menelaos Karanasos, J. Kim
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On the multivariate EGARCH model

Applied Economics Letters, 2009
In this aticle, the extension of Nelson's (1991) univariate EGARCH model to the multivariate version has been reexamined and compared with the existing one given by Koutmos and Booth (1995). The magnitude and sign of standardized innovations have been constrained in Koutmos and Booth's multivariate EGARCH model, but not in the actual multivariate ...
Ten-Der Jane, Cherng G. Ding
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On the stationarity and existence of moments of the periodic EGARCH process

Monte Carlo Methods and Applications, 2023
AbstractIn this paper, we will consider periodicEGARCH⁡(p,p){\operatorname{EGARCH}(p,p)}(exponential generalized autoregressive conditional heteroscedastic) processes denoted byPEGARCH⁡(p,p){\operatorname{PEGARCH}(p,p)}. These processes are similar to the standard EGARCH processes, but include seasonally varying coefficients.
Ines Lescheb, Walid Slimani
exaly   +3 more sources

Extremal behavior of finite EGARCH Processes [PDF]

, 2003
Extreme value theory for a class of EGARCH processes is developed. It is shown that the EGARCH process as well as the logarithm of its conditional variance lie in the domain of attraction of the Gumbel distribution. Norming constants are obtained and it is shown that the considered processes exhibit the same extremal behavior as their associated iid ...
Lindner, Alexander M., Meyer, Katharina M. M.   +1 more
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Testing for EGARCH Against Stochastic Volatility Models

Journal of Time Series Analysis, 2005
Abstract. It is shown that the EGARCH model is the degenerate case of Danielsson's [Journal of Econometrics(1994) Vol. 61, pp. 375–400] stochastic volatility model where the disturbance of the transition equation of conditional volatility has zero variance.
Masahito Kobayashi
exaly   +3 more sources

A realized EGARCH-MIDAS model with higher moments

Finance Research Letters, 2021
Abstract This paper proposes a realized EGARCH-MIDAS model with higher moments (REGARCH-MIDAS-SK) which combines the REGARCH-MIDAS model by Borup and Jakobsen (2019) and the REGARCH-SK model by Wu et al. (2019) to model volatility. A key feature of the proposed model is the ability to account for the high persistence of volatility and the time ...
Xinyu Wu, Haibin Xie
exaly   +2 more sources

Option pricing using EGARCH models [PDF]

, 1996
Various empirical studies have shown that the time-varying volatility of asset returns can be described by GARCH (generalised autoregressive conditional heteroskedasticity) models. The corresponding GARCH option pricing model of Duan (1995) is capable of depicting the smile-effect which often can be found in option prices.
Schmitt, Christian
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On periodic EGARCH models

Communications in Statistics - Simulation and Computation, 2020
This article deals with some probabilistic and statistical properties of a periodic exponential GARCH(1,1) model, which is very adequate and appropriate to capture and describe, at the same time, t...
Mohamed Sadoun, Mohamed Bentarzi
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EGARCH Model with Weighted Liquidity

Communications in Statistics - Simulation and Computation, 2013
We analyze a variant of the EGARCH model which captures the variation of the intra-day price. We study the asymptotic behavior of the estimators for the parameters of the model. We also illustrate our theoretical results by empirical studies.
Ciprian A. Tudor, Cristiana Tudor
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Testing for jumps in the EGARCH process

Mathematics and Computers in Simulation, 2009
zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Xiuhong Shi, Masahito Kobayashi
openaire   +2 more sources