[S] EGARCH vs GARCH

Fouad Abbassi (fabbassi@yahoo.com)
Sun, 22 Nov 1998 17:48:28 -0800 (PST)


I am trying to prove that EGARCH models fit better than GARCH ones for
modeling daily stock returns using SPLUS GARCH (to fit the models).

Could anybody help with research papers related to the topic above.

Thank you in advance.

Fouad Abbassi.

_________________________________________________________
DO YOU YAHOO!?
Get your free @yahoo.com address at http://mail.yahoo.com

-----------------------------------------------------------------------
This message was distributed by s-news@wubios.wustl.edu. To unsubscribe
send e-mail to s-news-request@wubios.wustl.edu with the BODY of the
message: unsubscribe s-news