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Try inserting a negative value of the previous epsilon - the coefficient that is multiplied with this should have the appropriate value, in order for it to generate an INCREASE in the current conditional volatility. This is due to Black finding a so called "leverage effect" in financial ti...

Hi there, I was wondering if anyone knew if the EGARCH(1,1) would be able to model cyclical behaviour? I've read that the EGARCH in general is, due to the possibility of negative Beta coefficients, yet I'm unsure as to whether this translates over to the 1.1 case. Any ideas? Best regards, Martin Falch

Hi there, I'm currently finishing up a thesis on GARCH models, which I've estimated using the Ox language in OxMetrics. However, for a specific graph, I wish to manually graph the GARCH, EGARCH and some other models in the same graph. The idea is to use pre-estimated parameter-estimates to get a poi...

Hi there, We are currently working with GARCH models and have been calculating a series of forecasts of the conditional variance. These lie in the region of 0.0003, 0.0001 etc. At the same time, these are to be compared with some realized variance measures, which we've been given by our teacher. How...

Hi there, I'm writing an assignment on GARCH models and wish to divide them into "leverage-effect models" and "long memory models" respectively. As such, I've put EGARCH, GJR and APARCH in the first category, while I intend to put IGARCH, FIGARCH, FIEGARCH, FIEAPARCH and HYGARCH ...