One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … subsequent shocks to volatility. However, the statistical properties of the (quasi-) maximum likelihood estimator of the EGARCH …

between real estate and stock markets by fitting different classes of time-varying volatility model; second, to perform VaR … processes, in terms of mean, volatility, correlation, can be compared. In the econometric analyses, we estimate both a …

Terrorist incidents exert a negative, albeit usually short-lived, impact on markets and equity returns. Given the … indicate that the volatility of stock market returns is increased in all cases examined. …

on subsequent stock market returns and exacerbates stock market volatility. Furthermore, stocks with large, negative …