EGARCH help - writing out the model
Yes, the names used to represent coefficients in the code are the names used to represent them in the equations of the vignette. Alexios
On 02/10/2014 07:43, Gareth McEwan wrote:
Hi there
I need help writing out the EGARCH model from ugarchfit output. The output
is as follows:
Optimal Parameters
------------------------------------
Estimate Std. Error t value Pr(>|t|)
omega -1.57247 0.418627 -3.7562 0.000172
alpha1 -0.17550 0.119734 -1.4657 0.142722
beta1 0.91097 0.023007 39.5962 0.000000
gamma1 0.99365 0.222110 4.4737 0.000008
shape 2.85842 0.551750 5.1806 0.000000
I am referring to page 7 of
"Introduction_to_the_rugarch_package.pdf" Version 1.3-3. Trying to specify
eq.14.
Would "omega" be the first bracketed term on the right hand side (RHS)?
Would "alpha1" refer to the "alpha(j)*z(t-j)" where j=1? So, would I leave
the "z(t-j)" as simply "z(t-1)" in the specification?
Would "beta1" refer to the last term on the RHS?
And would "gamma1" refer to the gamma in "gamma(j){abs(z(t-j) -
E[abs(z(t-j))]} in the middle of the RHS?
This seems right to me, but I wanted to check with the group.
Thank you very much.
Regards
Gareth
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