Fits an EGARCH(1, 1) model to the historical returns and returns the estimated Omega, Alpha, Gamma and Beta parameters for each asset.

A negative Gamma indicates the presence of a leverage effect (negative shocks raise volatility by more than positive ones of the same size).

For more information about the method, see the following paper:

  • Nelson, D.B. (1991). “Conditional Heteroskedasticity in Asset Returns: A New Approach.” Econometrica, 59(2), 347-370.

Also known as: EGARCH weights, EGARCH coefficients, leverage parameters.

No programming experience? With the Finance Toolkit MCP server, AI assistants such as Claude and ChatGPT can calculate the EGARCH Parameters for you. Just ask in plain English.

Calculate the EGARCH Parameters in Python

The EGARCH Parameters is available in the Risk module of the open-source Finance Toolkit. Install it with:

pip install financetoolkit -U

Then call get_egarch_parameters as shown below.

from financetoolkit import Toolkit

toolkit = Toolkit(["AMZN", "TSLA"], api_key="FINANCIAL_MODELING_PREP_KEY")

toolkit.risk.get_egarch_parameters(period="quarterly")

Which returns:

  AMZN TSLA Benchmark
Omega -3.5971 -1.7701 -4.6755
Alpha -0.0115 -0.0296 0.485
Gamma 0.0286 0.3887 -0.4054
Beta 0.0196 0.0844 0.0651

Parameters

get_egarch_parameters accepts the following parameters:

  • period (str, optional): The data frequency for returns (daily, weekly, monthly, quarterly, or yearly). Defaults to “quarterly” if the Toolkit is initialised with quarterly=True, otherwise “yearly”.
  • optimization_t (int, optional): Time steps of the returns series to use for the optimization. Defaults to the full length of the returns series.
  • rounding (int | None, optional): The number of decimals to round the results to. Defaults to None.
GARCH Parameters GJR-GARCH Volatility Model GJR-GARCH Volatility Forecast GJR-GARCH Parameters EGARCH Volatility Model EGARCH Volatility Forecast HAR-RV Forecast Hill Estimator Best Fitting Copula Copula Parameters Copula Simulation Tail Dependence Coefficient

The Risk module page introduces the module, and the sidebar lists all of its functions.

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