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)
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Working Paper: Exponential conditional volatility models (2010)
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