Basic Introduction to GARCH and EGARCH (part 3)
Here is the final part of the series of posts on the volatility modelling where I will briefly talk about one of the many variant of the GARCH model: the exponential GARCH (abbreviated EGARCH). I chose this variant because it improves the GARCH model and better model some market mechanics. In the GARCH post, I … Continue reading “Basic Introduction to GARCH and EGARCH (part 3)”