EGARCH

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In statistics the exponential general autoregressive conditional heteroskedastic (EGARCH) model by Nelson (1991) is another form of the GARCH model. Formally:

$\log\sigma_{t}^{2}=\omega_{t}+\sum_{k=1}^{\infty}\beta_{k}g(Z_{t-k})$

where $g (Z t) = θ Z t + λ( | Z t | - E (Z t))$ , $\sigma_{t}^{2}$ is the conditional variance, $ω$ , $β$ , $θ$ and $λ$ are coefficients, and $Z t$ is a standard normal variable.