Beta-t-EGARCH models in which the dynamics of the logarithm of scale are driven by the conditional score are known to exhibit attractive theoretical properties for the t-distribution and general error distribution (GED). The generalized-t includes both as special cases. We derive the information matrix for the generalized-t and show that, when parameterized with the inverse of the tail index, i...

We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove in this context the strong consistency and the asymptotic normality of the M-estimator associated with the Quasi-Likelihood criteria. We recover known results on univariate and multivariate GARCH type models where the estimator coincides with the ...

This article examines the impact of SGX MSCI Taiwan Index Futures on the volatility of the Taiwan stock market. The empirical work is conducted with the use of weekly stock returns from 1995 to 1998 and by applying an expanded EGARCH model. Our findings show that there is no structural change on either the conditional or the unconditional variance after the introduction of index futures contrac...

Empirical Mode Decomposition (EMD), recently proposed by Huang et al. [12], appears to be a novel data analysis method for nonlinear and non-stationary time series. By decomposing a time series into a small number of independent and concretely implicational intrinsic modes based on scale separation, EMD explains the generation of time series data from a novel perspective. This paper presents an...

The environmental literature lacks the use of volatility based models for environmental stochastic processes. To overcome this deficiency, we use EGARCH, IGARCH, TGARCH, GJR-GARCH, NGARCH, AVGARCH and APARCH models for functional relationships of the pathogen indicators time series for recreational activates at beaches. We use generalized error, Student’s t, exponential, normal and normal inver...

In this chapter, the authors use an EGARCH-ECM to estimate the pass-through effects of Foreign Exchange (FX) rate changes and changes in producers’ prices for 20 U.K. export sectors. The long-run adjustments of export prices to FX rate changes and changes in producers’ prices are within the range of –1.02% (for the Textiles sector) and –17.22% (for the Meat sector). The contemporaneous PricingT...

This paper incorporates EGARCH modeling in a financial event study relating firm value to negative environmental news. News media provide informal information channels unlike formal government disclosure programs. This paper improves on previous studies by using a larger sample than most studies, treating heteroskedasticity in the disturbance term with a hybrid method that allows EGARCH, and co...

This paper incorporates EGARCH modeling in a financial event study relating firm value to negative environmental news. News media provide informal information channels unlike formal government disclosure programs. This paper improves on previous studies by using a larger sample than most studies, treating heteroskedasticity in the disturbance term with a hybrid method that allows EGARCH, and co...