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Keywords: EGARCH
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Journal Articles
Journal:
Review of Accounting and Finance
Review of Accounting and Finance (2015) 14 (2): 172–188.
Published: 11 May 2015
...), and the most common approach used is the exponential generalized autoregressive conditionally heteroskedastic (EGARCH) model. This model can avoid imposing non-negative constraints on GARCH parameters and hence reduce the instabilities of the parameterization. Thus, we adopt the EGARCH model to qualify...
