Harvey, A. C.

Exponential Conditional Volatility Models

CWPE1040

Abstract: The asymptotic distribution of maximum likelihood estimators is derived for a class of exponential generalized autoregressive conditional heteroskedasticity (EGARCH) models. The result carries over to models for duration and realised volatility that use an exponential link function. A key feature of the model formulation is that the dynamics are driven by the score.

Keywords: Duration models, gamma distribution, general error distribution, heteroskedasticity, leverage, score, Student's t

JEL Codes: C22 G17

Author links: Andrew Harvey

PDF: https://www.econ.cam.ac.uk/research-files/repec/cam/pdf/cwpe1040.pdf