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EGARCH model: exponential asymmetric volatility persistence (Excel)

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Mar 15, 2021
13:43

Exponential GARCH (EGARCH) is an extension over GARCH model developed by Daniel Nelson in 1991. It allows to model the assymetric nature of variance persistence while relieving many of the parameter restrictions present in standard GARCH. Today we will learn how to implement EGARCH in Excel and apply it to real-world volatility modelling. Don't forget to subscribe to NEDL and give this video a thumbs up for more videos in Finance! Please consider supporting NEDL on Patreon: https://www.patreon.com/NEDLeducation

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EGARCH model: exponential asymmetric volatility persistence (Excel) | NatokHD