Realized EGARCH Model with Time-Varying Volatility Persistence and Its Empirical Analysis

WU Xinyu, LIUTianyu

Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (9) : 2444-2459.

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Journal of Systems Science and Mathematical Sciences ›› 2021, Vol. 41 ›› Issue (9) : 2444-2459. DOI: 10.12341/jssms21145

Realized EGARCH Model with Time-Varying Volatility Persistence and Its Empirical Analysis

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{{article.zuoZheEn_L}}. {{article.title_en}}. Journal of Systems Science and Mathematical Sciences, 2021, 41(9): 2444-2459 https://doi.org/10.12341/jssms21145

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