He, C.; Terasvirta, Timo; Malmsten, H. - Finance Discipline Group, Business School - 1999
In this paper we consider the fourth moment structure of a class of first-order Exponential GARCH models. This class … contains as special cases both the standard Exponential GARCH model and the symmetric and asymmetric Logarithmic GARCH one … properties of the autocorrelation structure are discussed and compared to those of the standard first-order GARCH process. In …