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The EGARCH model of Nelson [29] is one of the most successful ARCH models which may exhibit characteristic asymmetries of financial time series, as well as long memory. The paper studies the covariance structure and dependence properties of the EGARCH and some related stochastic volatility models. We show that the large time behavior of the covariance of powers of the (observed) ARCH process is determined by the behavior of the covariance of the (linear) log-volatility process; in particular, a...
The EGARCH model of Nelson [29] is one of the most
successful
ARCH models which may exhibit characteristic asymmetries of
financial time series, as well as long memory. The paper studies
the covariance structure and dependence properties of the EGARCH
and some related stochastic volatility models. We show that the
large time behavior of the covariance of powers of the (observed)
ARCH process is determined by the behavior of the covariance of
the (linear) log-volatility process; in particular,...
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