On Mar 29, 2016, at 8:27 AM, Joakim Lindboe Br?chmann . <joakimlb90 at gmail.com> wrote:
Dear Alexios,
First of all thanks for a wonderful package that I frequently use.
I have estimated an ARMA(1,1)-EGARCH(1) model, and was puzzled by the
outcome for a very long time since I got an insignificant estimate for the
|z_t-1| term (regular ARCH effects) while the asymmetric parameter in front
of z_t-1 was indeed statistically significant. My data looks like normal
financial data.
I based this on the specifications using the ?ugarchspec function in my
script where it says:
*Variance Model (GJR, EGARCH)*
- assymetry term: gamma1
By drawing the news impact curves and reviewing my code and plots, I came
to the conclusion that there was no asymmetry apparent from the data but
that there indeed should bed regular ARCH effects. By running the code for
gjrGARCH also, I noticed that this model confirmed my hypothesis.
Thereby my question:
Isn't there an error in the instructions? Doesn't gamma1 represent regular
ARCH effects while alpha1 is the correct leverage parameter representing
asymmetry?
Best Regards,
Joakim
[[alternative HTML version deleted]]