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EGARCH Model

Exponential, generalized, autoregressive, conditional heteroscedasticity models for volatility clustering

If positive and negative shocks of equal magnitude asymmetrically contribute to volatility, then you can model the innovations process using an EGARCH model and include leverage effects. For details on how to model volatility clustering using an EGARCH model, see egarch.

Apps

Econometric ModelerAnalyze and model econometric time series

Functions

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egarchEGARCH conditional variance time series model
estimateFit conditional variance model to data
inferInfer conditional variances of conditional variance models
summarizeDisplay estimation results of conditional variance model
simulateMonte Carlo simulation of conditional variance models
filterFilter disturbances through conditional variance model
forecastForecast conditional variances from conditional variance models

Examples and How To

Create Model

Fit Model to Data

Generate Monte Carlo Simulations

Generate Minimum Mean Square Error Forecasts

Concepts