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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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An exponential continuous time GARCH process [PDF]
, 2006 In this paper we introduce an exponential continuous time GARCH(p,q) process. It is defined in such a way that it is a continuous time extension of the discrete time EGARCH(p,q) process. We investigate stationarity and moment properties of the new model.
Haug, Stephan +3 more
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A new approach to bad news effects on volatility: the multiple-sign-volume sensitive regime EGARCH model (MSV-EGARCH) [PDF]
Portuguese Economic Journal, 2009 In this paper, using daily data for six major international stock market indexes and a modified EGARCH specification, the links between stock market returns, volatility and trading volume are investigated in a new nonlinear conditional variance framework with multiple regimes and volume effects. Volatility forecast comparisons, using the Harvey-Newbold
Curto, José Dias +2 more
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Comparative Analysis of the Volatility Structure of Cryptocurrencies
Ekoist Journal of Econometrics and Statistics, 2021 Cryptocurrency emerged as an alternative medium of exchange developed after the 2008 global financial crisis to replace the traditional money system.
Fatih Kazova, Ayça Büyükyılmaz Ercan
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Oil Price Volatility and Business Cycles in Nigeria
Studies in Business and Economics, 2018 The effect of oil price volatility on the business cycle (measured as fluctuations in real GDP) in Nigeria is investigated, while controlling for effects of other variables such as inflation, exchange rate, money supply, trade openness and foreign direct
Aigheyisi Oziengbe Scott
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Foreign portfolio investment, returns, exchange rate and inflation for Zimbabwe: A Granger Causality and EGARCH approach [PDF]
AccountingThis paper analyses the causal relationship between Foreign Portfolio Investment (FPI), Equities Market Volatility, Exchange Rate and Inflation in Zimbabwe using a monthly time series data between October 2018 and November 2021.
Talent Kondo +3 more
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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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Investigating the sources of Black’s leverage effect in oil and gas stocks
Cogent Economics & Finance, 2017 The Black’s leverage effect hypothesis postulates that a negative stock return innovation increases the financial leverage of a firm since the value of equity decreases at a given level of debt, which, in turn, creates a higher equity return volatility ...
Muhammad Surajo Sanusi
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