An almost closed form estimator

Two EGARCH models and one fat tail

Abstract. 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

We provide a simple yet highly effective framework for forecasting the volatility of asset returns by combining multifactor exponential GARCH models with data on the range. Using Standard and Poors 500 index data from 1983 to 2001, we demonstrate the importance of a two-factor specification

;quot; which often can be found in option prices. In some derivative markets, however, the slope of the smile is not symmetrical. In this paper an option pricing model in the context of the EGARCH (Exponential GARCH) process will be developed. Extensive numerical analyses suggest that the EGARCH option pricing

An EGARCH model in which the conditional distribution is heavy-tailed and skewed is proposed. The properties of the model, including unconditional moments, autocorrelations and the asymptotic distribu-tion of the maximum likelihood estimator, are obtained. Evidence for skewness in conditional t

Abstract This paper illustrates the usage of the betategarch package, a package for the simulation, estimation and forecasting of Beta-Skew-t-EGARCH models. The Beta-Skew-t-EGARCH model is a dynamic model of the scale or volatility of financial returns. The model is characterised by its robustness

Abstract This paper illustrates the usage of the betategarch package, a package for the simulation, estimation and forecasting of Beta-Skew-t-EGARCH models. The Beta-Skew-t-EGARCH model is a dynamic model of the scale or volatility of financial returns. The model is characterised by its robustness

This study aims to analyze the best model to expect volatility of Indonesia’s coffee price using ARCH/GARCH model and to measure the coffee price volatility spillover of International market for Indonesia’s coffee price using EGARCH model. These models use different conditional variance

-of-the-money. The other one is to build a pricing model of TAIEX call options. The experimental data presented in this study come from the daily closing transaction price of TAIEX call options and the associated spot market from September 24, 2001 to August 31, 2003. This investigation applied the Bi_EGARCH model