منابع مشابه
EGARCH models with fat tails, skewness and leverage
An EGARCH model in which the conditional distribution is heavytailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribution of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t-distribution is found for a range of returns series and the model is shown to give a better fit than th...
متن کاملA 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...
متن کاملVolatility Forecasting With Range-Based EGARCH Models
We provide a simple, yet highly effective framework for forecasting return volatility by combining exponential generalized autoregressive conditional heteroscedasticity models with data on the range. Using Standard and Poor’s 500 index data for 1983–2004, we demonstrate the importance of a long-memory specification, based on either a two-factor structure or fractional integration, that allows f...
متن کاملApproximating the GJR-GARCH and EGARCH Option Pricing Models Analytically
In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance. keywords: ...
متن کاملModeling of T2* decay in water/fat imaging: comparison of one-decay and two-decay models
INTRODUCTION Chemical shift-encoded techniques for quantitatively measuring the presence of fat have a number of important applications in MRI, including bone marrow, muscle, brain, liver and heart studies. However, inaccurate modeling of the acquired signal can result in significant bias in the estimates of fat amplitude or fat fraction. Specifically, modeling the T2* decay (or the decay rate ...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: SSRN Electronic Journal
سال: 2014
ISSN: 1556-5068
DOI: 10.2139/ssrn.2463181