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-distribution is found for a range of returns series and the model is shown to give a better …t than the correspond-ing skewed-t GARCH model.