persistence of symmetry, asymmetry and leverage, respectively. …

) 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 … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …

confusion in the literature between asymmetry and leverage, as well as which asymmetric models are purported to be able to … models are important in estimating and forecasting volatility, as well as in capturing asymmetry, which is the different … effects on conditional volatility of positive and negative effects of equal magnitude, and purportedly in capturing leverage …