Base information
Home
Purpose
FAQ
Notations
Formula
Figure descriptions
Indexes
Links to time series
Pop-up to time series
Two-time series comparison
One figure comparison
Trend and leverage effect for "Long Memory Affine Aggregated ARCH
(param.set 2)"
Leverage effect
Correlation between the realized volatility and the historical return.
Trend effect
Correlation between the realized volatility and the product of the historical return and lagged historical return r L[r].