[R-SIG-Finance] rugarch parameter analysis

[Geoffrey Smith]

Could someone please tell me whether the "leverage effect" parameter in the
EGARCH model represents the difference between the effect of a positive and
negative shock on future volatility?  In other words, does the estimate of
"alpha1" that is output by the code below represent the difference between
the effect of a positive and negative shock on future volatility?  And
because "alpha1" is -0.0385, this means that the effect of a negative shock
is greater than the effect of a positive shock?  Thank you.

library(rugarch)

data(dmbp)

spec <- ugarchspec(mean.model=list(armaOrder=c(0,0), include.mean=TRUE),
variance.model=list(model='eGARCH', garchOrder=c(1,1)))

fit <- ugarchfit(data = dmbp[,1], spec = spec)

coef(fit)

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