A One Line Derivation of EGARCH

Feb 3rd, 2012
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University of Kent, Canterbury and Medway
Course: finance
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This paper is concerned with one of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. The EGARCH model is popular, among other reasons, as it can capture both asymmetry, namely the different effects on conditional volatility of positive and negative effects of equal magnitude, and leverage, which is the negative correlation between returns shocks and subsequent shocks to volatility.

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