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    • On the Invertibility of EGARCH 

      Martinet, G.G.; McAleer, M. (University of CanterburyUniversity of Canterbury. Department of Economics and Finance, 2014)
      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 ...