Malmsten, Hans - Economics Institute for Research (SIR), … - 2004
testing parameter constancy. Furthermore, various existing ways of testing the EGARCH model against GARCH one are investigated …Evaluating exponential GARCH models
Hans Malmsten
Department of Economic Statistics
Stockholm School of Economics
Box …-samplepropertiesoftheothertests
arealsoinvestigatedbysimulations.
Keywords. Evaluationofvolatilitymodels;modellingvolatility;para-
meterconstancy;GARCH
JEL ClassificationCodes: C22,C …