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Continuous invertibility and stable QML estimation of the EGARCH(1,1) model
We introduce the notion of continuous invertibility on a compact set for volatility models driven by a Stochastic Recurrence Equation (SRE). We prove the strong... -
GARCH models without positivity constraints: Exponential or Log GARCH?
This paper provides a probabilistic and statistical comparison of the log-GARCH and EGARCH models, which both rely on multiplicative volatility dynamics without...
