Formula used for EGARCH in "rugarch" package
Take a look at Section 2.2.3 of the package vignette [1, 2]. Michael [1] https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf [2] https://bitbucket.org/alexiosg/rugarch/src/1bf0f673286b22124fe3a55dfd79d94b3169fb6b/vignettes/rugarch.tex?at=master&fileviewer=file-view-default#rugarch.tex-226
On Mon, Jan 4, 2016 at 4:31 AM, Samit Paul <samitpaulin at gmail.com> wrote:
Dear R users,
I am using "rugarch" package while fitting ARMA(1,1) - EGARCH (1,1) to a
dataset. The coefficient of leverage ("gamma") is coming as positive ,
while other softwares (say, Eviews, SPSS) is giving the same as negative.
The absolute value of the coefficient is almost same. It seems, that the
formula built in R for EGARCH in "rugarch" package, perhaps depicting the
leverage effect in different sign.
Could you please help me to get the formula used for EGARCH in "ruagrch"
package?
Thanks in advance,
Samit Paul
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