[R-SIG-Finance] EGARCH help - writing out the model

[Gareth McEwan]

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

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