EGARCH(1,1) and cycles
Posted: Tue Mar 30, 2010 2:09 pm
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
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