Statements (21)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:advantage |
no need for non-negativity constraints on parameters
|
| gptkbp:application |
risk management
financial econometrics asset returns modeling |
| gptkbp:developedBy |
gptkb:Tim_Bollerslev
|
| gptkbp:feature |
captures leverage effects
logarithmic conditional variance models asymmetric volatility |
| gptkbp:field |
time series analysis
econometrics |
| gptkbp:form |
log conditional variance equation
|
| gptkbp:fullName |
gptkb:Exponential_Generalized_Autoregressive_Conditional_Heteroskedasticity
|
| https://www.w3.org/2000/01/rdf-schema#label |
EGARCH
|
| gptkbp:introducedIn |
1986
|
| gptkbp:publishedIn |
gptkb:Journal_of_Econometrics
|
| gptkbp:relatedTo |
gptkb:GARCH
gptkb:ARCH |
| gptkbp:usedFor |
modeling volatility
|
| gptkbp:bfsParent |
gptkb:ARCH_models
|
| gptkbp:bfsLayer |
6
|