Statements (27)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
time series model volatility model |
| gptkbp:advantage |
variance is always positive without parameter restrictions
|
| gptkbp:application |
finance
econometrics |
| gptkbp:category |
heteroskedasticity model
|
| gptkbp:feature |
captures leverage effects
allows for asymmetric volatility uses logarithm of variance |
| gptkbp:form |
log(variance) is modeled as a linear function of past standardized shocks and past log(variance)
|
| gptkbp:fullName |
Exponential Generalized Autoregressive Conditional Heteroskedasticity model
|
| gptkbp:handles |
asymmetric shocks
volatility clustering |
| https://www.w3.org/2000/01/rdf-schema#label |
EGARCH model
|
| gptkbp:implementedIn |
gptkb:Python
gptkb:Matlab gptkb:EViews R |
| gptkbp:introduced |
gptkb:Tim_Bollerslev
|
| gptkbp:introducedIn |
1986
|
| gptkbp:relatedTo |
gptkb:ARCH_model
gptkb:GARCH_model |
| gptkbp:usedFor |
forecasting conditional variance
modeling financial time series volatility |
| gptkbp:bfsParent |
gptkb:ARCH_model
|
| gptkbp:bfsLayer |
6
|