Thanks a lot, Michael, Cheers!! Samit
On Mon, Jan 4, 2016 at 8:26 PM, Michael Weylandt <michael.weyla...@gmail.com > wrote: > 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 <samitpau...@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 > > > > [[alternative HTML version deleted]] > > > > _______________________________________________ > > R-SIG-Finance@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. > [[alternative HTML version deleted]] _______________________________________________ R-SIG-Finance@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.