) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH … effects of equal magnitude, EGARCH can also accommodate leverage, which is the negative correlation between returns shocks and …

) specification. In addition to asymmetry, which captures the different effects on conditional volatility of positive and negative … derivatives, and hence does not permit (quasi-) maximum likelihood estimation. It is shown in this paper for the non-leverage case …One of the most popular univariate asymmetric conditional volatility models is the exponential GARCH (or EGARCH …

evidence shows asymmetry is also a prominent feature of stock market returns volatility. The reaction of risk if stock returns … describe the most typical features of capital markets like volatility clustering, excess kurtosis and fat tails. As empirical …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

) specification can capture asymmetry, which refers to the different effects on conditional volatility of positive and negative …Of the two most widely estimated univariate asymmetric conditional volatility models, the exponential GARCH (or EGARCH … effects of equal magnitude, and leverage, which refers to the negative correlation between the returns shocks and subsequent …

financial volatility as well as intermittent dynamics and excess of kurtosis. A sufficient condition for strict stationarity and … ergodicity of the model is established and the existence of the second- and fourth-order moments is discussed. It is shown that … the model may have explosive regimes and still be strictly stationary and ergodic. Furthermore, estimation of the …

in the daily retail price for gasoline (taxes excluded) for the period 1996-2004 taking care of volatility clustering by … estimating an EGARCH model. It turns out the volatility process is asymmetrical: an unexpected increase in the producer price has … amount asymmetry. However, there is a faster reaction to upward changes in spot prices than to downward changes in spot …

Estimation of the volatility of time series has taken off since the introduction of the GARCH and stochastic volatility … unobserved stochastic volatility, and the varying approaches that have been taken for such estimation. In order to simplify the … comprehension of these estimation methods, the main methods for estimating stochastic volatility are discussed, with focus on their …

In this paper, I study the drop of real GDP volatility which has been observed in the United States during the postwar … disaggregated only up to 10 sectors. Blanchard and Simon (2001) come to the same result. Using a new estimation method and more … this in order to get, for each observation period, an estimation of the covariance matrix of the sectoral growth rates …