Hi everyone! I have a question about the volatility equation for family GARCH model in rugarch package(Equation (26) in document: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf). Why we use sigma^(lambda) at t-1 (in the sum, after alfa parameter) - shouldn't we rather use sigma^(lambda) at t-j ?
[rugarch package] The family GARCH model equation
3 messages · Suzie, Alexios Ghalanos
We do...its a typo in the documentation. You can see for yourself that this is so by looking the the "fgarchfilter" function in the filters.c file (src directory). -Alexios
On 10/11/2013 23:03, Suzie wrote:
Hi everyone! I have a question about the volatility equation for family GARCH model in rugarch package(Equation (26) in document: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf). Why we use sigma^(lambda) at t-1 (in the sum, after alfa parameter) - shouldn't we rather use sigma^(lambda) at t-j ?
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.
Thank you for answering so quickly! I'm kind a newbie in the area of GARCH models so I just wasn't really sure if I'm thinking correctly :) Best regards, Suzie Dnia 11 listopada 2013 0:13 alexios ghalanos <alexios at 4dscape.com> napisa?(a):
We do...its a typo in the documentation. You can see for yourself that this is so by looking the the "fgarchfilter" function in the filters.c file (src directory). -Alexios On 10/11/2013 23:03, Suzie wrote:
Hi everyone! I have a question about the volatility equation for family GARCH model in rugarch package(Equation (26) in document: http://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf). Why we use sigma^(lambda) at t-1 (in the sum, after alfa parameter) - shouldn't we rather use sigma^(lambda) at t-j ?
_______________________________________________ R-SIG-Finance at r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-sig-finance -- Subscriber-posting only. If you want to post, subscribe first. -- Also note that this is not the r-help list where general R questions should go.