A One Line Derivation of EGARCH

A One Line Derivation of EGARCH

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and subsequent shocks to volatil...

DEPARTMENT OF ECONOMICS AND FINANCE COLLEGE OF BUSINESS AND ECONOMICS UNIVERSITY OF CANTERBURY CHRISTCHURCH, NEW ZEALAND A One Line Derivation of EGARCH

One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and subsequent shocks to volatil...

A One Line Derivation of DCC: Application of a Vector Random Coefficient Moving Average Process*

On the superstability of a special derivation

The aim of this paper is to show that under some mild conditions a functional equation of multiplicative $(alpha,beta)$-derivation is superstable on standard operator algebras. Furthermore, we prove that this generalized derivation can be a continuous and an inner $(alpha,beta)$-derivation.

On the Invertibility of EGARCH

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 shocks and subsequent shocks to volatility. Howe...