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; g...

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This study empirically examined the asymmetric oil price shocks in Nigeria from 1981q1-2019q4 using Exponential Generalized Autoregressive Conditional Heteroskedasticity (EGARCH) model. The EGARCH model was employed to investigate by obtaining conditional variance estimated results. Empirical results revealed a weak indication for leverage effect and strong effect. positive egarch (L2) coeffici...

A distinguishing feature of the intra-day time-varying volatility of financial time series is given by the presence of long-range dependence of periodic type due mainly to time-of-the-day phenomena. In this work we introduce a model able to describe the empirical evidence given by this periodic longmemory behaviour. The model, named PLM-GARCH (Periodic Long Memory GARCH), represents a natural e...

High frequency foreign exchange rate (HFFX) series are analyzed on an operational time scale using models of the ARCH class. Comparison of the estimated conditional variances focuses on the asymmetry and persistence issue. Estimation results for para-metric models connrm standard results for HFFX series, namely high persistence and no signiicance of the asymmetry coeecient in an EGARCH model. T...

In Duan, Gauthier and Simonato (1999), an analytical approximate formula for European options in the GARCH framework was developed. The formula is however restricted to the nonlinear asymmetric GARCH model. This paper extends the same approach to two other important GARCH specifications GJR-GARCH and EGARCH. We provide the corresponding formulas and study their numerical performance. keywords: ...