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The leverage effect is a situation in which volatility tends to increase dramat-ically following bad news, and to increase moderately (or even to diminish) following good news. An example of its occurrence is given. The universality of the leverage effect motivates the further part of the work in which asymmetric GARCH models are de-scribed. In particular, the EGARCH [Nelson, 1991], TGARCH [Zakoian,...
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