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
>
> [[alternative HTML version deleted]]
>
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