Revisiting Several Popular GARCH Models with Leverage Effect: Differences and Similarities

By M. J. Rodríguez, Esther Ruiz. 2012

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Some stylized facts of the cryptocurrency market (2018, unknown): “The model is stationary if the coefficients satisfy < 2 1 α βð Þ (Rodríguez and Ruiz 2012).”
Optimally Harnessing Inter-Day and Intra-Day Information for Daily Value-at-Risk Prediction (2013, unknown): “…estimation results and diagnostics for the models are set out in Table 2.17 For the USDX and the 10Y T-Note volatility, the GJR model parameter γ1 suggests that there is no leverage effect in line with previous studies (e.g., Giot and Laurent, 2004; Andersen et al., 2011; Rodriguez and Ruiz, 2012).”
Frontiers in VaR forecasting and backtesting (2016, result): “However, the results obtained from the APARCH and EGARCH models are usually very similar; see Rodríguez and Ruiz (2012).”