Exponential Conditional Volatility Models

Andrew Harvey

Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge

Abstract: The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score.

Keywords: Duration models; gamma distribution; general error distribution; heteroskedasticity; leverage; score; Student's t (search for similar items in EconPapers)
JEL-codes: C22 G17 (search for similar items in EconPapers)
Date: 2010-08-26
New Economics Papers: this item is included in nep-ecm and nep-ets
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Citations: View citations in EconPapers (10)

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Working Paper: Exponential conditional volatility models (2010)
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