{"citation":{"mla":"Hanke, Dominik Christian, et al. <i>Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models</i>. 2026.","ama":"Hanke DC, Feng Y, Uhde A. <i>Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models</i>.; 2026.","bibtex":"@book{Hanke_Feng_Uhde_2026, title={Comparing the behaviors of some original short  and long memory exponential volatility models}, author={Hanke, Dominik Christian and Feng, Yuanhua and Uhde, André}, year={2026} }","apa":"Hanke, D. C., Feng, Y., &#38; Uhde, A. (2026). <i>Comparing the behaviors of some original short  and long memory exponential volatility models</i>.","ieee":"D. C. Hanke, Y. Feng, and A. Uhde, <i>Comparing the behaviors of some original short  and long memory exponential volatility models</i>. 2026.","chicago":"Hanke, Dominik Christian, Yuanhua Feng, and André Uhde. <i>Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models</i>, 2026.","short":"D.C. Hanke, Y. Feng, A. Uhde, Comparing the Behaviors of Some Original Short  and Long Memory Exponential Volatility Models, 2026."},"file_date_updated":"2026-07-13T09:14:58Z","abstract":[{"text":"Volatility modeling is utilized across numerous fields including finance, environmental studies, and \r\nsocial sciences. It is particularly relevant in scenarios where understanding and predicting conditional \r\nvariability is crucial, such as when dealing with incremental or time-dependent data. In this paper, novel \r\nshort and long memory volatility models of the EGARCH family are introduced and analyzed, which \r\nare closely related to the well-established EGARCH model proposed by Nelson (1991) but share \r\ndesirable theoretical properties in several dimensions. Recently developed members of the so-called \r\nEGARCH family, which introduces a modulus-log transformation proposed by John and Draper (1980) \r\nand a power transformation for the size and magnitude effect to tackle the problem with near-zero \r\ninnovations and the asymmetric impact of positive and negative shocks on the volatility, are discussed. \r\nAfter a theoretical discussion of the proposed and related volatility models, the practical performance \r\nof the elaborated volatility models is compared to well-established and traditional GARCH approaches. \r\nA general QMLE algorithm is proposed to estimate the model parameters. The practical relevance of the \r\nadvanced models is illustrated through a comparative study. By applying these volatility models to a \r\nvariety of international stock index returns, this paper identifies market-specific characteristics as well \r\nas unique strengths and weaknesses of discussed volatility models. Although the practical performance \r\nof the recently introduced models is comparable to those obtained by the traditional EGARCH model, \r\nthey generally outperform traditional non-exponential volatility models used as benchmarks and thus \r\nprovide a useful alternative to existing short and long memory volatility models. ","lang":"eng"}],"date_created":"2026-07-13T09:15:09Z","file":[{"relation":"main_file","date_updated":"2026-07-13T09:14:58Z","file_name":"TAF_WP_104_HankeFengUhde2026.pdf","access_level":"open_access","file_size":1169286,"file_id":"66448","content_type":"application/pdf","creator":"dhanke","date_created":"2026-07-13T09:14:58Z"}],"department":[{"_id":"186"}],"oa":"1","type":"working_paper","keyword":["Modulus Log-GARCH","Modified (FI)EGARCH","Modulus asymmetric (FI)Log-GARCH","(FI)EGARCH","long memory","modulus-log transformation","QMLE","model selection","implementation in  R"],"author":[{"id":"63677","full_name":"Hanke, Dominik Christian","last_name":"Hanke","first_name":"Dominik Christian"},{"id":"20760","last_name":"Feng","first_name":"Yuanhua","full_name":"Feng, Yuanhua"},{"full_name":"Uhde, André","last_name":"Uhde","first_name":"André","id":"36049"}],"jel":["C4","C5","B23","B26","C32"],"year":"2026","title":"Comparing the behaviors of some original short  and long memory exponential volatility models","status":"public","has_accepted_license":"1","date_updated":"2026-07-16T09:07:24Z","language":[{"iso":"eng"}],"_id":"66447","user_id":"63677","ddc":["330"]}