Iqbal, Najam; Manzoor, Muhammad Saqib; Bhatti, Muhammad … - In: Journal of Risk and Financial Management 14 (2021) 7, pp. 1-15
(EGARCH) model to capture asymmetry and allegedly leverage. We proxy the news related to the negative effect of COVID-19 on … 2020 to 29 December 2020. The empirical results suggest the EGARCH model fits better in capturing asymmetry and leverage … that the EGARCH model with volatility equation without news demonstrates a larger (smaller) leverage effect of the negative …
