Exponential Generalized Autoregressive Conditional Heteroskedasticity
GPTKB entity
Statements (16)
| Predicate | Object |
|---|---|
| gptkbp:instanceOf |
statistical analysis
|
| gptkbp:abbreviation |
gptkb:EGARCH
|
| gptkbp:feature |
no need for non-negativity constraints on parameters
logarithmic conditional variance asymmetric volatility effects |
| gptkbp:field |
finance
econometrics |
| https://www.w3.org/2000/01/rdf-schema#label |
Exponential Generalized Autoregressive Conditional Heteroskedasticity
|
| gptkbp:proposedBy |
gptkb:Tim_Bollerslev
|
| gptkbp:relatedTo |
gptkb:GARCH
gptkb:ARCH |
| gptkbp:usedFor |
modeling volatility
|
| gptkbp:usedIn |
time series analysis
|
| gptkbp:yearProposed |
1986
|
| gptkbp:bfsParent |
gptkb:EGARCH
|
| gptkbp:bfsLayer |
7
|