Exponential Conditional Volatility Models

The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score.

MoreLess

Year of publication:	2010-08-26
Authors:	Harvey, A.
Institutions:	Faculty of Economics, University of Cambridge
Subject:	Duration models \| gamma distribution \| general error distribution \| heteroskedasticity \| leverage \| score \| Student's t

More details

Series:	Cambridge Working Papers in Economics.
Type of publication:	Book / Working Paper
Language:	English
Classification:	C22 - Time-Series Models ; G17 - Financial Forecasting
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10008483950