[R-SIG-Finance] Formula used for EGARCH in "rugarch" package

Michael Weylandt michael.weylandt at gmail.com
Mon Jan 4 15:56:35 CET 2016

Take a look at Section 2.2.3 of the package vignette [1, 2].


[1] https://cran.r-project.org/web/packages/rugarch/vignettes/Introduction_to_the_rugarch_package.pdf
[2] https://bitbucket.org/alexiosg/rugarch/src/1bf0f673286b22124fe3a55dfd79d94b3169fb6b/vignettes/rugarch.tex?at=master&fileviewer=file-view-default#rugarch.tex-226

On Mon, Jan 4, 2016 at 4:31 AM, Samit Paul <samitpaulin at gmail.com> wrote:
> 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"
> package?
> Thanks in advance,
> Samit Paul
>         [[alternative HTML version deleted]]
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