On the Invertibility of EGARCH

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dc.contributor.authorMartinet, G.G.
dc.contributor.authorMcAleer, M.
dc.date.accessioned2015-08-06T23:10:04Z
dc.date.available2015-08-06T23:10:04Z
dc.date.issued2014en
dc.description.abstractOf 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 shocks and subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator (QMLE) of the EGARCH parameters are not available under general conditions, but only for special cases under highly restrictive and unverifiable conditions. A limitation in the development of asymptotic properties of the QMLE for EGARCH is the lack of an invertibility condition for the returns shocks underlying the model. It is shown in this paper that the EGARCH model can be derived from a stochastic process, for which the invertibility conditions can be stated simply and explicitly. This will be useful in re-interpreting the existing properties of the QMLE of the EGARCH parameters.en
dc.identifier.citationMartinet, G. G., McAleer, M., (2014) On the Invertibility of EGARCH. 12pp..en
dc.identifier.urihttp://hdl.handle.net/10092/10764
dc.language.isoen
dc.publisherUniversity of Canterbury. Department of Economics and Financeen
dc.rights.urihttps://hdl.handle.net/10092/17651en
dc.subjectLeverageen
dc.subjectasymmetryen
dc.subjectexistenceen
dc.subjectstochastic processen
dc.subjectasymptotic propertiesen
dc.subjectinvertibilityen
dc.subject.anzsrcFields of Research::38 - Economics::3802 - Econometrics::380202 - Econometric and statistical methodsen
dc.titleOn the Invertibility of EGARCHen
dc.typeDiscussion / Working Papers
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