Explain the term EGARCH as of the GARCHs family
Explain the term EGARCH as of the GARCH’s family.
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EGARCH: It is an Exponential GARCH. Such models the logarithm of the variance. The model also accommodates asymmetry in which negative shocks can have a bigger impact upon volatility than positive shocks.
We attain the following data in dollar terms: The correlation
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