[S] EGARCH vs EGARCH

Fouad Abbassi (fabbassi@yahoo.com)
Thu, 26 Nov 1998 17:54:46 -0800 (PST)


Did anybody try to fit daily stock return using GARCH or EGARCH in
SPLUS? If yes pleasse let me know. I want to know what to look at to
see which model is better.
Any paper on the subject: Comparaison between GARCH and EGARCH models
is helpful.

Thank you in advance.

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