Model asymmetric volatility using EGARCH. ln(sigma_t^2) = omega + alpha*(|z_{t-1}| - E|z|) + gamma*z_{t-1} + beta*ln(sigma_{t-1}^2). Negative gamma captures leverage (bad news increases vol more).
Model asymmetric volatility using EGARCH. ln(sigma_t^2) = omega + alpha*(|z_{t-1}| - E|z|) + gamma*z_{t-1} + beta*ln(sigma_{t-1}^2). Negative gamma captures leverage (bad news increases vol more)
Each component has a specific meaning:
Note: Interpret the egarch leverage result against the thresholds and context described above.
Enter the EGARCH for the scenario you are assessing. Model asymmetric volatility using EGARCH. ln(sigma_t^2) = omega + alpha*(|z_{t-1}| - E|z|) + gamma*z_{t-1} + beta*ln(sigma_{t-1}^2). Negative gamma captures leverage (bad news increases vol more). Use the egarch leverage result to inform your calculation.