[R-SIG-Finance] Formula used for EGARCH in "rugarch" package
samitpaulin at gmail.com
Mon Jan 4 11:31:54 CET 2016
Dear R users,
I am using "rugarch" package while fitting ARMA(1,1) - EGARCH (1,1) to a
dataset. The coefficient of leverage ("gamma") is coming as positive ,
while other softwares (say, Eviews, SPSS) is giving the same as negative.
The absolute value of the coefficient is almost same. It seems, that the
formula built in R for EGARCH in "rugarch" package, perhaps depicting the
leverage effect in different sign.
Could you please help me to get the formula used for EGARCH in "ruagrch"
Thanks in advance,
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