Tuesday, July 22, 2025

How Exponential GARCH (EGARCH) Is Ripping You Off

GARCH-in-the-Mean Model In financial investment, high risk is often expected to lead to high returns. However, given the well known fat tails in financial time series, it may be more desirable to use a distribution which has fatter tails than the normal distribution. This extended GARCH model is often referred to as GARCH-in-the-mean (GARCH-M) model. […]