EconPapers    
Economics at your fingertips  
 

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)
New Economics Papers: this item is included in nep-ecm and nep-ets
Date: 2010-08-26
References: View references in EconPapers View complete reference list from CitEc
Citations View citations in EconPapers (2) Track citations by RSS feed

Downloads: (external link)
http://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1040.pdf

Related works:
Working Paper: Exponential conditional volatility models (2010) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:cam:camdae:1040

Access Statistics for this paper

More papers in Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
Bibliographic data for series maintained by Jake Dyer ().

 
Page updated 2018-12-11
Handle: RePEc:cam:camdae:1040