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

[alexios ghalanos]

Yes, the names used to represent coefficients in the code are the names
used to represent them in the equations of the vignette.

Alexios

On 02/10/2014 07:43, Gareth McEwan wrote:
> 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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