Asymmetry and Leverage in Conditional Volatility Models

Asymmetry and Leverage in Conditional Volatility Models

The three most popular univariate conditional volatility models 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) m...

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Bibliographic Details
Main Author: Michael McAleer
Format: Article
Language:English
Published: MDPI AG 2014-09-01
Series:Econometrics
Subjects:
conditional volatility models
random coefficient autoregressive processes
random coefficient complex nonlinear moving average process
asymmetry
leverage
Online Access:http://www.mdpi.com/2225-1146/2/3/145

Internet

http://www.mdpi.com/2225-1146/2/3/145

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