Results 11 to 20 of about 886 (182)
The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH [PDF]
SSRN Electronic Journal, 2017 In the class of univariate conditional volatility models, the three most popular are the generalized autoregressive conditional heteroskedasticity (GARCH) model of Engle (1982) and Bollerslev (1986), the GJR (or threshold GARCH) model of Glosten, Jagannathan and Runkle (1992), and the exponential GARCH (or EGARCH) model of Nelson (1990, 1991).
Chang, Chia-Lin, McAleer, Michael
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The effect of Sectoral output Volatility on Economic growth in Ethiopia
Journal of Economics, Business & Accountancy Ventura, 2021 This study examined the effect of sectoral output volatility on economic growth and the determinants of economic growth in the Ethiopian economy. The study used annual time series data spanning from 1981 to 2018 and included capital stock, working-age ...
Adisu Abebaw Degu
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On the invertibility of EGARCH(p,q) [PDF]
Econometric Reviews, 2016 Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential 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 ...
Guillaume Gaetan Martinet +1 more
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AN ALMOST CLOSED FORM ESTIMATOR FOR THE EGARCH MODEL [PDF]
Econometric Theory, 2012 The exponential GARCH (EGARCH) model introduced by Nelson (1991) is a popular model for discrete time volatility since it allows for asymmetric effects and naturally ensures positivity even when including exogenous variables. Estimation and inference are usually done via maximum likelihood.
HAFNER, Christian, LINTON, Oliver
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EGARCH models with fat tails, skewness and leverage [PDF]
Computational Statistics & Data Analysis, 2014 two components.
Andrew Harvey, Genaro Sucarrat
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Studies in Business and Economics, 2022 This study analyzes the effect of housing prices on banking performance in Korea. The findings of the study reveal that the impact of housing price changes on banking performance was different in the commercial banks, regional banks and specialized banks.
Heonyong Jung
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Two EGARCH Models and One Fat Tail [PDF]
SSRN Electronic Journal, 2014 We compare two EGARCH models which belong to a new class of models in which the dynamics are driven by the score of the conditional distribution of the observations. Models of this kind are called dynamic conditional score (DCS) models and their form facilitates the development of a comprehensive and relatively straightforward theory for the asymptotic
Michele Caivano, Andrew Harvey
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Comparative Economic Research, 2023 Volatility spillover informs whether the information in one market impacts the information in another. This paper examines whether oil market volatility spills over to the equity markets of selected SAARC countries. The study uses data from February 2013
Tariq Aziz
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Egarch Model Prediction for Sale Stock Price
Jurnal Varian, 2022 Stock is an investment in the capital market that is very promising for investors. Investors can also get high returns from the shares invested. However, this stock price is not always stable, it can go up and down drastically. The purpose of this study is to predict stock prices because they often experience instability.
Arya Impun Diapari Lubis, Ismail Husein
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