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Hi again, I saw that nobody answered my question yet. In the meantime I made some research and saw that the EGARCH can allow for asymmetric conditional mean and variance. Do I just need to run the model on my sample and see how it fits ? How would the fact that this model fits proves overreaction ? ...

Good afternoon people, I am currently working on my thesis subject and want to prove overreaction of the main european indexes (FTSE, CAC, DAX) to the Greek debt crisis of 2015. In order to do so, I need to find a model that allows the conditional mean and variance of returns to vary asymmetrically ...