[R-SIG-Finance] [rugarch package] The family GARCH model equation

[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 ?
> 
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