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

[Suzie]

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> napisał(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 ?
> > 
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>