Construct · 1 fields · 1 citations

EGARCH: a standalone construct

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Econometrics

a volatility model on the log of conditional variance that lets negative and positive shocks affect volatility asymmetrically without sign restrictions.

In econometrics, EGARCH refers to a volatility model on the log of conditional variance that lets negative and positive shocks affect volatility asymmetrically without sign restrictions. This meaning comes from Nelson (1991) in Econometrica.[1]

Unit
Recovery means
Measured by

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Nearby constructs

affect4 fields · 5 citationsjingle · one word, several feeling constructs conditional3 fields · 3 citationsjingle · one word, three constructs model3 fields · 3 citationsjingle · one word, three constructs

References

Nelson, D. B. (1991). Conditional Heteroskedasticity in Asset Returns: A New Approach. Econometrica, 59(2), 347. https://doi.org/10.2307/2938260

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