Exponential conditional volatility models

Andrew Harvey

DES - Working Papers. Statistics and Econometrics. WS from Universidad Carlos III de Madrid. Departamento de Estadística

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: Student's; t; Duration; models; Gamma; distribution; General; error; distribution; Heteroskedasticity; Leverage; Score (search for similar items in EconPapers)
JEL-codes: C22 G17 (search for similar items in EconPapers)
Date: 2010-09
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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Persistent link: https://EconPapers.repec.org/RePEc:cte:wsrepe:ws103620

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