Exponential Conditional Volatility Models
Cambridge Working Papers in Economics from Faculty of Economics, University of Cambridge
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
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10) Track citations by RSS feed
Downloads: (external link)
Working Paper: Exponential conditional volatility models (2010)
This item may be available elsewhere in EconPapers: Search for items with the same title.
Export reference: BibTeX
RIS (EndNote, ProCite, RefMan)
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 ().