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17-056/III - The Correct Regularity Condition and Interpretation of Asymmetry in EGARCH

  • Authors
    Chia-Lin Chang, National Chung Hsing University, Taiwan; Michael McAleer, National Tsing Hua University, Taiwan; University of Sydney Business School; Erasmus University Rotterdam, The Netherlands, Complutense University of Madrid, Spain and Yokohama National University, Japan
  • Publication date
    June 23, 2017
  • Keywords
    Conditional volatility models, random coefficient complex nonlinear moving average process, EGARCH, asymmetry, leverage, regularity condition
  • JEL
    C22, C52, C58, G32